Principal Amount† | | | | | | Value | | Percentage of Net Assets |
CORPORATE BONDS/NOTES: 17.4% | | | | |
| | | | Basic Materials: 1.3% | | | | |
1,250,000 | | (1),(2) | | Alpek SAB de CV, 4.250%, 09/18/2029 | | $ | 1,125,950 | | 0.1 |
200,000 | | (2) | | ASP Unifrax Holdings, Inc., 5.250%, 09/30/2028 | | 159,960 | | 0.0 |
575,000 | | (1),(2) | | ASP Unifrax Holdings, Inc., 7.500%, 09/30/2029 | | 400,185 | | 0.0 |
1,350,000 | | | | Celulosa Arauco y Constitucion SA, 3.875%, 11/02/2027 | | 1,242,506 | | 0.1 |
1,500,000 | | (2) | | Celulosa Arauco y Constitucion SA, 4.250%, 04/30/2029 | | 1,348,755 | | 0.1 |
525,000 | | (1),(2) | | Cleveland-Cliffs, Inc., 4.625%, 03/01/2029 | | 464,210 | | 0.0 |
410,000 | | (1),(2) | | Cleveland-Cliffs, Inc., 4.875%, 03/01/2031 | | 362,380 | | 0.0 |
625,000 | | (1),(2) | | Coeur Mining, Inc., 5.125%, 02/15/2029 | | 433,930 | | 0.0 |
450,000 | | (2) | | Compass Minerals International, Inc., 6.750%, 12/01/2027 | | 407,716 | | 0.0 |
600,000 | | (2) | | Consolidated Energy Finance S.A., 5.625%, 10/15/2028 | | 483,503 | | 0.0 |
625,000 | | (2) | | Constellium SE, 5.625%, 06/15/2028 | | 560,076 | | 0.0 |
1,000,000 | | (2) | | Equate Petrochemical BV, 2.625%, 04/28/2028 | | 890,000 | | 0.1 |
1,250,000 | | (2) | | Evraz PLC, 5.250%, 04/02/2024 | | 593,750 | | 0.0 |
600,000 | | (2) | | First Quantum Minerals Ltd., 6.875%, 10/15/2027 | | 537,468 | | 0.0 |
1,800,000 | | (2) | | GC Treasury Center Co. Ltd., 4.400%, 03/30/2032 | | 1,655,386 | | 0.1 |
750,000 | | (2) | | Gold Fields Orogen Holdings BVI Ltd., 5.125%, 05/15/2024 | | 757,212 | | 0.1 |
1,200,000 | | (1),(2) | | Hudbay Minerals, Inc., 4.500%, 04/01/2026 | | 1,005,924 | | 0.1 |
560,000 | | (2) | | Illuminate Buyer LLC / Illuminate Holdings IV, Inc., 9.000%, 07/01/2028 | | 443,131 | | 0.0 |
800,000 | | (2) | | INEOS Quattro Finance 2 Plc, 3.375%, 01/15/2026 | | 673,192 | | 0.0 |
2,000,000 | | (2) | | Inversiones CMPC SA, 3.850%, 01/13/2030 | | 1,759,220 | | 0.1 |
400,000 | | | | Inversiones CMPC SA, 4.375%, 04/04/2027 | | 381,642 | | 0.0 |
925,000 | | (2),(3) | | Iris Holdings, Inc., 8.750% (PIK Rate 9.500%, Cash Rate 8.750%), 02/15/2026 | | 741,438 | | 0.1 |
850,000 | | (2) | | LSF11 A5 Holdco LLC, 6.625%, 10/15/2029 | | 717,306 | | 0.0 |
600,000 | | (2) | | Mineral Resources Ltd., 8.000%, 11/01/2027 | | 586,500 | | 0.0 |
750,000 | | (2) | | Novelis Corp., 3.875%, 08/15/2031 | | 578,888 | | 0.0 |
100,000 | | (2) | | Novelis Corp., 4.750%, 01/30/2030 | | 83,309 | | 0.0 |
675,000 | | (2) | | Nufarm Australia Ltd. / Nufarm Americas, Inc., 5.000%, 01/27/2030 | | 571,894 | | 0.0 |
325,000 | | (2) | | OCP SA, 3.750%, 06/23/2031 | | 246,368 | | 0.0 |
650,000 | | (1) | | Olin Corp., 5.000%, 02/01/2030 | | 562,513 | | 0.0 |
475,000 | | | | Olin Corp., 5.125%, 09/15/2027 | | 437,480 | | 0.0 |
800,000 | | (2) | | Olympus Water US Holding Corp., 6.250%, 10/01/2029 | | 557,000 | | 0.0 |
400,000 | | | | Sasol Financing USA LLC, 5.500%, 03/18/2031 | | 308,632 | | 0.0 |
925,000 | | (2) | | Schweitzer-Mauduit International, Inc., 6.875%, 10/01/2026 | | 824,476 | | 0.1 |
2,425,000 | | (2) | | Sibur Securities DAC, 2.950%, 07/08/2025 | | 818,438 | | 0.1 |
350,000 | | (1) | | Southern Copper Corp., 5.875%, 04/23/2045 | | 363,255 | | 0.0 |
1,350,000 | | | | Suzano Austria GmbH, 5.000%, 01/15/2030 | | 1,231,855 | | 0.1 |
200,000 | | | | Suzano Austria GmbH, 6.000%, 01/15/2029 | | 198,657 | | 0.0 |
700,000 | | (2) | | Taseko Mines Ltd., 7.000%, 02/15/2026 | | 596,838 | | 0.0 |
675,000 | | (2) | | Trinseo Materials Operating SCA / Trinseo Materials Finance, Inc., 5.125%, 04/01/2029 | | 483,715 | | 0.0 |
825,000 | | (1),(2) | | Tronox, Inc., 4.625%, 03/15/2029 | | 665,152 | | 0.0 |
2,600,000 | | | | Vale Overseas Ltd., 3.750%, 07/08/2030 | | 2,282,917 | | 0.1 |
725,000 | | (2) | | Vibrantz Technologies, Inc., 9.000%, 02/15/2030 | | 512,100 | | 0.0 |
| | | | | | 29,054,827 | | 1.3 |
| | | | | | | | |
| | | | Communications: 1.9% | | | | |
700,000 | | (2) | | Acuris Finance US, Inc. / Acuris Finance SARL, 5.000%, 05/01/2028 | | 582,281 | | 0.0 |
1,000,000 | | (1),(2) | | Altice France Holding SA, 6.000%, 02/15/2028 | | 711,655 | | 0.1 |
1,000,000 | | (2) | | Altice France SA/France, 5.500%, 10/15/2029 | | 766,985 | | 0.1 |
575,000 | | (2) | | Altice France SA/France, 8.125%, 02/01/2027 | | 530,236 | | 0.0 |
800,000 | | (1) | | AMC Networks, Inc., 4.250%, 02/15/2029 | | 650,612 | | 0.0 |
875,000 | | (2) | | Audacy Capital Corp., 6.500%, 05/01/2027 | | 521,833 | | 0.0 |
900,000 | | (2) | | Beasley Mezzanine Holdings LLC, 8.625%, 02/01/2026 | | 676,372 | | 0.0 |
825,000 | | (2) | | CCO Holdings LLC / CCO Holdings Capital Corp., 4.250%, 01/15/2034 | | 640,179 | | 0.0 |
1,125,000 | | | | CCO Holdings LLC / CCO Holdings Capital Corp., 4.500%, 05/01/2032 | | 914,721 | | 0.1 |
600,000 | | (2) | | CCO Holdings LLC / CCO Holdings Capital Corp., 5.000%, 02/01/2028 | | 555,693 | | 0.0 |
975,000 | | (2) | | CCO Holdings LLC / CCO Holdings Capital Corp., 5.125%, 05/01/2027 | | 923,315 | | 0.1 |
550,000 | | (2) | | Clear Channel Outdoor Holdings, Inc., 7.500%, 06/01/2029 | | 397,116 | | 0.0 |
475,000 | | (2) | | Clear Channel Outdoor Holdings, Inc., 7.750%, 04/15/2028 | | 346,819 | | 0.0 |
3,016,000 | | | | Comcast Corp., 2.937%, 11/01/2056 | | 2,101,944 | | 0.1 |
325,000 | | (1),(2) | | CommScope Tech Finance LLC, 6.000%, 06/15/2025 | | 281,754 | | 0.0 |
200,000 | | (2) | | CommScope Technologies LLC, 5.000%, 03/15/2027 | | 148,133 | | 0.0 |
375,000 | | (1),(2) | | CommScope, Inc., 4.750%, 09/01/2029 | | 303,562 | | 0.0 |
750,000 | | (2) | | CommScope, Inc., 7.125%, 07/01/2028 | | 571,125 | | 0.0 |
1,125,000 | | (2) | | Connect Finco SARL / Connect US Finco LLC, 6.750%, 10/01/2026 | | 1,014,756 | | 0.1 |
800,000 | | (2) | | CSC Holdings LLC, 4.625%, 12/01/2030 | | 537,420 | | 0.0 |
325,000 | | | | CSC Holdings LLC, 5.250%, 06/01/2024 | | 304,359 | | 0.0 |
1,600,000 | | (2) | | CSC Holdings LLC, 5.750%, 01/15/2030 | | 1,168,368 | | 0.1 |
400,000 | | (1),(2) | | CSC Holdings LLC, 7.500%, 04/01/2028 | | 335,056 | | 0.0 |
1,325,000 | | (2) | | DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 5.875%, 08/15/2027 | | 1,134,604 | | 0.1 |
950,000 | | | | DISH DBS Corp., 5.125%, 06/01/2029 | | 580,260 | | 0.0 |
275,000 | | (2) | | DISH DBS Corp., 5.250%, 12/01/2026 | | 216,072 | | 0.0 |
425,000 | | (2) | | DISH DBS Corp., 5.750%, 12/01/2028 | | 315,471 | | 0.0 |
525,000 | | (1) | | DISH DBS Corp., 7.375%, 07/01/2028 | | 358,483 | | 0.0 |
700,000 | | | | Embarq Corp., 7.995%, 06/01/2036 | | 527,229 | | 0.0 |
775,000 | | (1),(2) | | GCI LLC, 4.750%, 10/15/2028 | | 672,610 | | 0.0 |
900,000 | | (1),(2) | | Gray Escrow II, Inc., 5.375%, 11/15/2031 | | 723,065 | | 0.1 |
245,000 | | (1) | | Hughes Satellite Systems Corp., 6.625%, 08/01/2026 | | 217,888 | | 0.0 |
275,000 | | (1),(2) | | iHeartCommunications, Inc., 5.250%, 08/15/2027 | | 235,758 | | 0.0 |
875,000 | | (1) | | iHeartCommunications, Inc., 8.375%, 05/01/2027 | | 697,218 | | 0.1 |
600,000 | | (2) | | ION Trading Technologies Sarl, 5.750%, 05/15/2028 | | 480,627 | | 0.0 |
450,000 | | (2) | | LCPR Senior Secured Financing DAC, 5.125%, 07/15/2029 | | 376,607 | | 0.0 |
720,000 | | (2) | | LCPR Senior Secured Financing DAC, 6.750%, 10/15/2027 | | 673,549 | | 0.0 |
270,000 | | | | Lumen Technologies, Inc., 5.625%, 04/01/2025 | | 256,500 | | 0.0 |
655,000 | | (2) | | McGraw-Hill Education, Inc., 8.000%, 08/01/2029 | | 531,647 | | 0.0 |
825,000 | | (2) | | Millennium Escrow Corp., 6.625%, 08/01/2026 | | 667,147 | | 0.0 |
440,000 | | | | Netflix, Inc., 5.875%, 11/15/2028 | | 431,292 | | 0.0 |
1,000,000 | | (2) | | Ooredoo International Finance Ltd., 2.625%, 04/08/2031 | | 870,113 | | 0.1 |
475,000 | | (4) | | Paramount Global, 6.250%, 02/28/2057 | | 416,518 | | 0.0 |
3,650,000 | | (4) | | Paramount Global, 6.375%, 03/30/2062 | | 3,266,659 | | 0.2 |
875,000 | | (1),(2) | | Radiate Holdco LLC / Radiate Finance, Inc., 6.500%, 09/15/2028 | | 678,720 | | 0.1 |
250,000 | | (1),(2) | | Scripps Escrow II, Inc., 5.375%, 01/15/2031 | | 199,694 | | 0.0 |
750,000 | | (1),(2) | | Scripps Escrow, Inc., 5.875%, 07/15/2027 | | 657,551 | | 0.0 |
325,000 | | (2) | | Sinclair Television Group, Inc., 4.125%, 12/01/2030 | | 258,213 | | 0.0 |
460,000 | | (2) | | Sinclair Television Group, Inc., 5.500%, 03/01/2030 | | 339,293 | | 0.0 |
600,000 | | (2) | | Sirius XM Radio, Inc., 5.000%, 08/01/2027 | | 557,913 | | 0.0 |
625,000 | | (2) | | Spanish Broadcasting System, Inc., 9.750%, 03/01/2026 | | 497,038 | | 0.0 |
1,350,000 | | | | Sprint Corp., 7.125%, 06/15/2024 | | 1,389,623 | | 0.1 |
375,000 | | | | Sprint Corp., 7.625%, 03/01/2026 | | 395,931 | | 0.0 |
650,000 | | (2) | | Stagwell Global LLC, 5.625%, 08/15/2029 | | 524,111 | | 0.0 |
175,000 | | | | Telecom Italia Capital SA, 6.000%, 09/30/2034 | | 132,499 | | 0.0 |
775,000 | | | | Telecom Italia Capital SA, 6.375%, 11/15/2033 | | 600,683 | | 0.0 |
2,000,000 | | | | Tencent Holdings Ltd., 3.975%, 04/11/2029 | | 1,896,356 | | 0.1 |
275,000 | | (1),(2) | | Univision Communications, Inc., 4.500%, 05/01/2029 | | 231,043 | | 0.0 |
1,225,000 | | (2) | | Univision Communications, Inc., 6.625%, 06/01/2027 | | 1,168,650 | | 0.1 |
500,000 | | (2) | | Urban One, Inc., 7.375%, 02/01/2028 | | 428,795 | | 0.0 |
600,000 | | (2) | | ViaSat, Inc., 5.625%, 09/15/2025 | | 486,102 | | 0.0 |
140,000 | | (2) | | ViaSat, Inc., 5.625%, 04/15/2027 | | 121,314 | | 0.0 |
325,000 | | (2) | | ViaSat, Inc., 6.500%, 07/15/2028 | | 224,274 | | 0.0 |
625,000 | | (2) | | Viavi Solutions, Inc., 3.750%, 10/01/2029 | | 524,585 | | 0.0 |
1,100,000 | | (2) | | Virgin Media Vendor Financing Notes IV DAC, 5.000%, 07/15/2028 | | 911,794 | | 0.1 |
325,000 | | (2) | | Vmed O2 UK Financing I PLC, 4.750%, 07/15/2031 | | 263,250 | | 0.0 |
1,100,000 | | (2) | | Zayo Group Holdings, Inc., 6.125%, 03/01/2028 | | 797,286 | | 0.1 |
| | | | | | 41,918,329 | | 1.9 |
| | | | | | | | |
| | | | Consumer, Cyclical: 2.9% | | | | |
575,000 | | (2) | | 1011778 BC ULC / New Red Finance, Inc., 4.000%, 10/15/2030 | | 463,298 | | 0.0 |
875,000 | | (1),(2) | | Academy Ltd., 6.000%, 11/15/2027 | | 801,014 | | 0.1 |
710,000 | | (2) | | Adams Homes, Inc., 7.500%, 02/15/2025 | | 661,390 | | 0.0 |
900,000 | | (1),(2) | | Adient Global Holdings Ltd., 4.875%, 08/15/2026 | | 791,203 | | 0.1 |
975,000 | | (2) | | Affinity Gaming, 6.875%, 12/15/2027 | | 820,238 | | 0.1 |
175,000 | | (2) | | Allison Transmission, Inc., 3.750%, 01/30/2031 | | 140,563 | | 0.0 |
800,000 | | (1),(2) | | Allison Transmission, Inc., 5.875%, 06/01/2029 | | 745,524 | | 0.1 |
566,906 | | | | American Airlines 2015-2 Class A Pass Through Trust, 4.000%, 03/22/2029 | | 503,337 | | 0.0 |
43,549 | | | | American Airlines 2016-1 Class A Pass Through Trust, 4.100%, 07/15/2029 | | 37,901 | | 0.0 |
1,200,000 | | (2) | | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 04/20/2029 | | 1,028,604 | | 0.1 |
725,000 | | (2) | | Arko Corp., 5.125%, 11/15/2029 | | 550,193 | | 0.0 |
400,000 | | | | Asbury Automotive Group, Inc., 4.500%, 03/01/2028 | | 347,554 | | 0.0 |
170,000 | | (1),(2) | | Asbury Automotive Group, Inc., 4.625%, 11/15/2029 | | 140,706 | | 0.0 |
290,000 | | | | Asbury Automotive Group, Inc., 4.750%, 03/01/2030 | | 238,799 | | 0.0 |
1,025,000 | | | | Bath & Body Works, Inc., 6.750%, 07/01/2036 | | 821,840 | | 0.1 |
150,000 | | (2),(3) | | BCPE Ulysses Intermediate, Inc., 7.750% (PIK Rate 8.500%, Cash Rate 7.750%), 04/01/2027 | | 92,446 | | 0.0 |
925,000 | | (1),(2) | | Caesars Entertainment, Inc., 4.625%, 10/15/2029 | | 721,690 | | 0.1 |
650,000 | | (2) | | Caesars Entertainment, Inc., 6.250%, 07/01/2025 | | 628,625 | | 0.0 |
325,000 | | (2) | | Carnival Corp., 6.000%, 05/01/2029 | | 229,460 | | 0.0 |
1,000,000 | | (1),(2) | | Carnival Corp., 7.625%, 03/01/2026 | | 776,875 | | 0.1 |
325,000 | | (2) | | Carnival Corp., 9.875%, 08/01/2027 | | 317,496 | | 0.0 |
650,000 | | (2) | | CCM Merger, Inc., 6.375%, 05/01/2026 | | 592,672 | | 0.0 |
600,000 | | (1),(2) | | Century Communities, Inc., 3.875%, 08/15/2029 | | 470,346 | | 0.0 |
600,000 | | (2) | | Cinemark USA, Inc., 8.750%, 05/01/2025 | | 606,901 | | 0.0 |
2,475,000 | | (2) | | CK Hutchison International 21 Ltd., 2.500%, 04/15/2031 | | 2,148,327 | | 0.1 |
575,000 | | (2) | | CROCS INC COMPANY GUAR 144A 08/31 4.125, 4.125%, 08/15/2031 | | 407,839 | | 0.0 |
200,000 | | (1) | | Delta Air Lines, Inc., 7.375%, 01/15/2026 | | 200,219 | | 0.0 |
404,782 | | (2) | | Delta Air Lines, Inc. / SkyMiles IP Ltd., 4.750%, 10/20/2028 | | 382,678 | | 0.0 |
2,500,000 | | (2) | | Falabella SA, 3.375%, 01/15/2032 | | 2,042,287 | | 0.1 |
600,000 | | (1) | | Falabella SA, 3.750%, 10/30/2027 | | 553,920 | | 0.0 |
975,000 | | (2) | | Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc., 6.750%, 01/15/2030 | | 751,120 | | 0.1 |
525,000 | | (2) | | Foot Locker, Inc., 4.000%, 10/01/2029 | | 398,149 | | 0.0 |
800,000 | | | | Ford Motor Credit Co. LLC, 2.700%, 08/10/2026 | | 682,720 | | 0.1 |
300,000 | | | | Ford Motor Credit Co. LLC, 3.625%, 06/17/2031 | | 233,472 | | 0.0 |
550,000 | | | | Ford Motor Credit Co. LLC, 4.125%, 08/17/2027 | | 485,862 | | 0.0 |
675,000 | | | | Ford Motor Credit Co. LLC, 4.542%, 08/01/2026 | | 618,847 | | 0.0 |
600,000 | | | | Ford Motor Credit Co. LLC, 5.113%, 05/03/2029 | | 539,162 | | 0.0 |
800,000 | | | | Ford Motor Credit Co. LLC, 5.584%, 03/18/2024 | | 797,504 | | 0.1 |
700,000 | | (2) | | Foundation Building Materials, Inc., 6.000%, 03/01/2029 | | 513,835 | | 0.0 |
700,000 | | (1),(2) | | Gap, Inc./The, 3.875%, 10/01/2031 | | 489,671 | | 0.0 |
300,000 | | (2) | | Genm Capital Labuan Ltd., 3.882%, 04/19/2031 | | 237,750 | | 0.0 |
495,000 | | (2) | | Golden Entertainment, Inc., 7.625%, 04/15/2026 | | 490,617 | | 0.0 |
625,000 | | (1) | | Goodyear Tire & Rubber Co/The, 5.250%, 07/15/2031 | | 503,334 | | 0.0 |
2,920,000 | | (1) | | Home Depot, Inc./The, 3.625%, 04/15/2052 | | 2,511,965 | | 0.1 |
3,000,000 | | (2) | | InRetail Consumer, 3.250%, 03/22/2028 | | 2,495,010 | | 0.1 |
725,000 | | (2) | | Installed Building Products, Inc., 5.750%, 02/01/2028 | | 645,122 | | 0.0 |
725,000 | | (2) | | Interface, Inc., 5.500%, 12/01/2028 | | 615,156 | | 0.0 |
1,100,000 | | (2) | | International Game Technology PLC, 5.250%, 01/15/2029 | | 998,343 | | 0.1 |
615,000 | | (2) | | LBM Acquisition LLC, 6.250%, 01/15/2029 | | 396,884 | | 0.0 |
850,000 | | (2) | | LCM Investments Holdings II LLC, 4.875%, 05/01/2029 | | 649,387 | | 0.0 |
600,000 | | (2) | | LGI Homes, Inc, 4.000%, 07/15/2029 | | 448,758 | | 0.0 |
725,000 | | (1),(2) | | Lindblad Expeditions LLC, 6.750%, 02/15/2027 | | 622,742 | | 0.0 |
850,000 | | (2) | | Lions Gate Capital Holdings LLC, 5.500%, 04/15/2029 | | 665,478 | | 0.0 |
2,183,000 | | | | Lowe's Cos, Inc., 4.450%, 04/01/2062 | | 1,868,445 | | 0.1 |
200,000 | | | | M/I Homes, Inc., 3.950%, 02/15/2030 | | 151,096 | | 0.0 |
550,000 | | (1) | | M/I Homes, Inc., 4.950%, 02/01/2028 | | 468,278 | | 0.0 |
305,000 | | | | Macy's Retail Holdings LLC, 4.500%, 12/15/2034 | | 217,767 | | 0.0 |
135,000 | | (1),(2) | | Macy's Retail Holdings LLC, 5.875%, 03/15/2030 | | 113,508 | | 0.0 |
475,000 | | (2) | | Macy's Retail Holdings LLC, 6.125%, 03/15/2032 | | 397,656 | | 0.0 |
2,268,000 | | (2) | | Magallanes, Inc., 5.141%, 03/15/2052 | | 1,906,613 | | 0.1 |
400,000 | | | | Mattel, Inc., 5.450%, 11/01/2041 | | 351,879 | | 0.0 |
800,000 | | (1),(2) | | Melco Resorts Finance Ltd., 5.375%, 12/04/2029 | | 484,028 | | 0.0 |
975,000 | | (2) | | Meritor, Inc., 4.500%, 12/15/2028 | | 940,125 | | 0.1 |
70,000 | | | | MGM Resorts International, 5.500%, 04/15/2027 | | 62,916 | | 0.0 |
625,000 | | (2) | | Midwest Gaming Borrower LLC / Midwest Gaming Finance Corp., 4.875%, 05/01/2029 | | 510,397 | | 0.0 |
150,000 | | (1),(2) | | Murphy Oil USA, Inc., 3.750%, 02/15/2031 | | 127,739 | | 0.0 |
450,000 | | | | Murphy Oil USA, Inc., 4.750%, 09/15/2029 | | 405,857 | | 0.0 |
165,000 | | | | Murphy Oil USA, Inc., 5.625%, 05/01/2027 | | 161,969 | | 0.0 |
620,000 | | (2) | | NCL Corp. Ltd., 7.750%, 02/15/2029 | | 474,548 | | 0.0 |
500,000 | | (2) | | NCL Finance Ltd., 6.125%, 03/15/2028 | | 364,442 | | 0.0 |
500,000 | | (1),(2) | | Penn National Gaming, Inc., 4.125%, 07/01/2029 | | 380,090 | | 0.0 |
450,000 | | (1),(2) | | Penn National Gaming, Inc., 5.625%, 01/15/2027 | | 395,424 | | 0.0 |
1,250,000 | | (2) | | PetSmart, Inc. / PetSmart Finance Corp., 7.750%, 02/15/2029 | | 1,128,444 | | 0.1 |
568,000 | | (2) | | Picasso Finance Sub, Inc., 6.125%, 06/15/2025 | | 554,669 | | 0.0 |
975,000 | | (2) | | Real Hero Merger Sub 2, Inc., 6.250%, 02/01/2029 | | 740,818 | | 0.1 |
1,550,000 | | (2) | | Royal Caribbean Cruises Ltd., 5.375%, 07/15/2027 | | 1,130,430 | | 0.1 |
145,000 | | (2) | | Royal Caribbean Cruises Ltd., 9.125%, 06/15/2023 | | 143,746 | | 0.0 |
850,000 | | (1),(2) | | Scientific Games Holdings L.P./Scientific Games US FinCo, Inc., 6.625%, 03/01/2030 | | 723,834 | | 0.1 |
500,000 | | (1),(2) | | Scientific Games International, Inc., 7.000%, 05/15/2028 | | 469,933 | | 0.0 |
325,000 | | (2) | | Scientific Games International, Inc., 8.625%, 07/01/2025 | | 333,639 | | 0.0 |
625,000 | | (2) | | Shea Homes L.P. / Shea Homes Funding Corp., 4.750%, 04/01/2029 | | 490,794 | | 0.0 |
875,000 | | (2) | | Sizzling Platter LLC / Sizzling Platter Finance Corp., 8.500%, 11/28/2025 | | 736,403 | | 0.1 |
800,000 | | (1),(2) | | Sonic Automotive, Inc., 4.625%, 11/15/2029 | | 620,924 | | 0.0 |
1,025,000 | | (2) | | Specialty Building Products Holdings LLC / SBP Finance Corp., 6.375%, 09/30/2026 | | 834,913 | | 0.1 |
375,000 | | (2) | | SRS Distribution, Inc., 6.000%, 12/01/2029 | | 294,971 | | 0.0 |
625,000 | | (1),(2) | | SRS Distribution, Inc., 6.125%, 07/01/2029 | | 494,003 | | 0.0 |
1,275,000 | | (1),(2) | | Staples, Inc., 10.750%, 04/15/2027 | | 844,962 | | 0.1 |
975,000 | | (1),(2) | | Station Casinos LLC, 4.500%, 02/15/2028 | | 824,899 | | 0.1 |
700,000 | | (2) | | STL Holding Co. LLC, 7.500%, 02/15/2026 | | 612,500 | | 0.0 |
675,000 | | (2) | | Taylor Morrison Communities, Inc., 5.125%, 08/01/2030 | | 561,513 | | 0.0 |
675,000 | | (2) | | Tempur Sealy International, Inc., 3.875%, 10/15/2031 | | 507,782 | | 0.0 |
650,000 | | (1) | | United Airlines Holdings, Inc., 4.875%, 01/15/2025 | | 604,962 | | 0.0 |
250,000 | | (1),(2) | | United Airlines, Inc., 4.375%, 04/15/2026 | | 221,180 | | 0.0 |
650,000 | | (2) | | United Airlines, Inc., 4.625%, 04/15/2029 | | 553,602 | | 0.0 |
115,000 | | (2) | | Univar Solutions USA, Inc./Washington, 5.125%, 12/01/2027 | | 107,250 | | 0.0 |
1,025,000 | | (2) | | Victoria's Secret & Co., 4.625%, 07/15/2029 | | 773,752 | | 0.1 |
1,075,000 | | (1),(2) | | Viking Cruises Ltd., 5.875%, 09/15/2027 | | 804,576 | | 0.1 |
255,000 | | (2) | | Viking Cruises Ltd., 13.000%, 05/15/2025 | | 261,673 | | 0.0 |
595,000 | | (2) | | Wheel Pros, Inc., 6.500%, 05/15/2029 | | 421,287 | | 0.0 |
600,000 | | (2) | | White Cap Buyer LLC, 6.875%, 10/15/2028 | | 480,828 | | 0.0 |
300,000 | | (2),(3) | | White Cap Parent LLC, 8.250% (PIK Rate 9.000%, Cash Rate 8.250%), 03/15/2026 | | 250,214 | | 0.0 |
550,000 | | (2) | | William Carter Co/The, 5.625%, 03/15/2027 | | 516,013 | | 0.0 |
275,000 | | (2) | | Williams Scotsman International, Inc., 4.625%, 08/15/2028 | | 234,834 | | 0.0 |
750,000 | | (2) | | Wolverine World Wide, Inc., 4.000%, 08/15/2029 | | 602,753 | | 0.0 |
400,000 | | (1),(2) | | Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 5.250%, 05/15/2027 | | 343,134 | | 0.0 |
| | | | | | 63,062,845 | | 2.9 |
| | | | | | | | |
| | | | Consumer, Non-cyclical: 1.7% | | | | |
750,000 | | (2) | | Acadia Healthcare Co., Inc., 5.500%, 07/01/2028 | | 701,872 | | 0.0 |
700,000 | | (1),(2) | | ACCO Brands Corp., 4.250%, 03/15/2029 | | 574,735 | | 0.0 |
875,000 | | (2) | | Adani Ports & Special Economic Zone Ltd., 4.375%, 07/03/2029 | | 774,553 | | 0.1 |
805,000 | | (1),(2) | | ADT Security Corp./The, 4.125%, 08/01/2029 | | 655,576 | | 0.0 |
440,000 | | (2) | | Albertsons Cos, Inc. / Safeway, Inc. / New Albertsons L.P. / Albertsons LLC, 3.500%, 03/15/2029 | | 357,412 | | 0.0 |
275,000 | | (1),(2) | | Albertsons Cos, Inc. / Safeway, Inc. / New Albertsons L.P. / Albertsons LLC, 4.875%, 02/15/2030 | | 236,664 | | 0.0 |
675,000 | | (1),(2) | | Albertsons Cos, Inc. / Safeway, Inc. / New Albertsons L.P. / Albertsons LLC, 5.875%, 02/15/2028 | | 632,063 | | 0.0 |
300,000 | | (2) | | Allied Universal Holdco LLC / Allied Universal Finance Corp., 6.000%, 06/01/2029 | | 218,739 | | 0.0 |
400,000 | | (2) | | Allied Universal Holdco LLC / Allied Universal Finance Corp., 6.625%, 07/15/2026 | | 367,828 | | 0.0 |
1,000,000 | | (2) | | Allied Universal Holdco LLC / Allied Universal Finance Corp., 9.750%, 07/15/2027 | | 849,055 | | 0.1 |
825,000 | | (2) | | Alta Equipment Group, Inc., 5.625%, 04/15/2026 | | 707,887 | | 0.0 |
600,000 | | (2) | | AMN Healthcare, Inc., 4.625%, 10/01/2027 | | 551,079 | | 0.0 |
450,000 | | (2) | | APi Escrow Corp., 4.750%, 10/15/2029 | | 364,000 | | 0.0 |
300,000 | | (2) | | APi Group DE, Inc., 4.125%, 07/15/2029 | | 238,684 | | 0.0 |
1,100,000 | | (2) | | Bausch Health Americas, Inc., 8.500%, 01/31/2027 | | 774,015 | | 0.1 |
225,000 | | (2) | | Bausch Health Cos, Inc., 4.875%, 06/01/2028 | | 176,539 | | 0.0 |
825,000 | | (2) | | Bausch Health Cos, Inc., 5.250%, 01/30/2030 | | 428,616 | | 0.0 |
450,000 | | (1),(2) | | Bausch Health Cos, Inc., 7.000%, 01/15/2028 | | 258,145 | | 0.0 |
675,000 | | (1),(2) | | BellRing Brands, Inc., 7.000%, 03/15/2030 | | 637,109 | | 0.0 |
350,000 | | (2) | | Catalent Pharma Solutions, Inc., 5.000%, 07/15/2027 | | 329,903 | | 0.0 |
225,000 | | | | Centene Corp., 2.625%, 08/01/2031 | | 179,473 | | 0.0 |
975,000 | | | | Centene Corp., 4.625%, 12/15/2029 | | 912,049 | | 0.1 |
800,000 | | (2) | | Cheplapharm Arzneimittel GmbH, 5.500%, 01/15/2028 | | 669,398 | | 0.0 |
225,000 | | (2) | | Chobani LLC / Chobani Finance Corp., Inc., 4.625%, 11/15/2028 | | 190,434 | | 0.0 |
750,000 | | (2) | | Chobani LLC / Chobani Finance Corp., Inc., 7.500%, 04/15/2025 | | 690,067 | | 0.0 |
325,000 | | (2) | | CHS/Community Health Systems, Inc., 4.750%, 02/15/2031 | | 238,834 | | 0.0 |
200,000 | | (2) | | CHS/Community Health Systems, Inc., 5.250%, 05/15/2030 | | 152,344 | | 0.0 |
500,000 | | (2) | | CHS/Community Health Systems, Inc., 5.625%, 03/15/2027 | | 424,547 | | 0.0 |
1,075,000 | | (1),(2) | | CHS/Community Health Systems, Inc., 6.875%, 04/15/2029 | | 696,503 | | 0.0 |
835,000 | | (2) | | CoreLogic, Inc., 4.500%, 05/01/2028 | | 644,294 | | 0.0 |
765,000 | | (2) | | CPI Acquisition, Inc., 8.625%, 03/15/2026 | | 723,885 | | 0.1 |
60,000 | | (2) | | Darling Ingredients, Inc., 6.000%, 06/15/2030 | | 59,900 | | 0.0 |
275,000 | | (2) | | DaVita, Inc., 3.750%, 02/15/2031 | | 197,882 | | 0.0 |
525,000 | | (2) | | DaVita, Inc., 4.625%, 06/01/2030 | | 411,087 | | 0.0 |
1,325,000 | | (2) | | DP World Crescent Ltd., 3.750%, 01/30/2030 | | 1,220,069 | | 0.1 |
1,050,000 | | | | DP World Crescent Ltd., 3.875%, 07/18/2029 | | 974,799 | | 0.1 |
575,000 | | (2) | | Graham Holdings Co., 5.750%, 06/01/2026 | | 570,662 | | 0.0 |
1,225,000 | | (2) | | Hutama Karya Persero PT, 3.750%, 05/11/2030 | | 1,117,772 | | 0.1 |
400,000 | | (2) | | Jazz Securities DAC, 4.375%, 01/15/2029 | | 356,581 | | 0.0 |
599,000 | | (2) | | KeHE Distributors LLC / KeHE Finance Corp., 8.625%, 10/15/2026 | | 600,239 | | 0.0 |
545,000 | | (2) | | Legacy LifePoint Health LLC, 4.375%, 02/15/2027 | | 467,673 | | 0.0 |
275,000 | | (1),(2) | | LifePoint Health, Inc., 5.375%, 01/15/2029 | | 202,503 | | 0.0 |
555,000 | | (2) | | Medline Borrower L.P., 3.875%, 04/01/2029 | | 474,592 | | 0.0 |
600,000 | | (1),(2) | | Mozart Debt Merger Sub, Inc., 5.250%, 10/01/2029 | | 494,652 | | 0.0 |
555,000 | | (1),(2) | | MPH Acquisition Holdings LLC, 5.750%, 11/01/2028 | | 461,041 | | 0.0 |
1,500,000 | | (1),(2) | | Natura Cosmeticos SA, 4.125%, 05/03/2028 | | 1,237,200 | | 0.1 |
850,000 | | (2) | | NESCO Holdings II, Inc., 5.500%, 04/15/2029 | | 714,366 | | 0.1 |
400,000 | | | | New Albertsons L.P., 7.450%, 08/01/2029 | | 396,246 | | 0.0 |
425,000 | | (2) | | Nielsen Finance LLC / Nielsen Finance Co., 4.750%, 07/15/2031 | | 382,890 | | 0.0 |
550,000 | | (2) | | Nielsen Finance LLC / Nielsen Finance Co., 5.875%, 10/01/2030 | | 506,000 | | 0.0 |
600,000 | | (2) | | Organon & Co. / Organon Foreign Debt Co-Issuer BV, 5.125%, 04/30/2031 | | 519,882 | | 0.0 |
630,000 | | (2) | | PECF USS Intermediate Holding III Corp., 8.000%, 11/15/2029 | | 500,157 | | 0.0 |
425,000 | | (2) | | Post Holdings, Inc., 4.625%, 04/15/2030 | | 359,321 | | 0.0 |
1,000,000 | | (1),(2) | | Post Holdings, Inc., 5.625%, 01/15/2028 | | 951,355 | | 0.1 |
875,000 | | (2) | | Primo Water Holdings, Inc., 4.375%, 04/30/2029 | | 716,069 | | 0.1 |
895,000 | | (1),(2) | | Select Medical Corp., 6.250%, 08/15/2026 | | 837,255 | | 0.1 |
925,000 | | (2) | | Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.625%, 03/01/2029 | | 783,517 | | 0.1 |
355,000 | | (2) | | Spectrum Brands, Inc., 3.875%, 03/15/2031 | | 286,627 | | 0.0 |
375,000 | | (2) | | Spectrum Brands, Inc., 5.500%, 07/15/2030 | | 338,127 | | 0.0 |
350,000 | | (2) | | Tenet Healthcare Corp., 4.250%, 06/01/2029 | | 295,813 | | 0.0 |
1,150,000 | | (2) | | Tenet Healthcare Corp., 6.125%, 10/01/2028 | | 987,701 | | 0.1 |
740,000 | | (2) | | Tenet Healthcare Corp., 6.125%, 06/15/2030 | | 684,914 | | 0.0 |
900,000 | | | | Tenet Healthcare Corp., 6.750%, 06/15/2023 | | 926,924 | | 0.1 |
875,000 | | (1) | | Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 05/09/2029 | | 723,039 | | 0.1 |
820,000 | | (1),(2) | | Triton Water Holdings, Inc., 6.250%, 04/01/2029 | | 583,561 | | 0.0 |
675,000 | | (1),(2) | | United Natural Foods, Inc., 6.750%, 10/15/2028 | | 631,760 | | 0.0 |
200,000 | | | | United Rentals North America, Inc., 3.750%, 01/15/2032 | | 164,628 | | 0.0 |
425,000 | | | | United Rentals North America, Inc., 4.875%, 01/15/2028 | | 402,766 | | 0.0 |
125,000 | | | | United Rentals North America, Inc., 5.250%, 01/15/2030 | | 116,159 | | 0.0 |
| | | | | | 37,012,031 | | 1.7 |
| | | | | | | | |
| | | | Energy: 3.4% | | | | |
950,000 | | (2) | | Aethon United BR L.P. / Aethon United Finance Corp., 8.250%, 02/15/2026 | | 924,706 | | 0.1 |
350,000 | | (2) | | Antero Midstream Partners L.P. / Antero Midstream Finance Corp., 5.375%, 06/15/2029 | | 314,107 | | 0.0 |
525,000 | | (2) | | Antero Midstream Partners L.P. / Antero Midstream Finance Corp., 5.750%, 03/01/2027 | | 489,132 | | 0.0 |
360,000 | | (1),(2) | | Antero Resources Corp., 5.375%, 03/01/2030 | | 328,824 | | 0.0 |
175,000 | | (2) | | Antero Resources Corp., 7.625%, 02/01/2029 | | 178,318 | | 0.0 |
450,000 | | | | Apache Corp., 5.100%, 09/01/2040 | | 381,276 | | 0.0 |
415,000 | | | | Apache Corp., 5.250%, 02/01/2042 | | 347,937 | | 0.0 |
850,000 | | (2) | | Archrock Partners L.P. / Archrock Partners Finance Corp., 6.250%, 04/01/2028 | | 753,831 | | 0.0 |
250,000 | | (2) | | Archrock Partners L.P. / Archrock Partners Finance Corp., 6.875%, 04/01/2027 | | 228,283 | | 0.0 |
850,000 | | (2) | | Ascent Resources Utica Holdings LLC / ARU Finance Corp., 5.875%, 06/30/2029 | | 749,203 | | 0.0 |
800,000 | | (2) | | Atlantica Sustainable Infrastructure PLC, 4.125%, 06/15/2028 | | 698,149 | | 0.0 |
675,000 | | (2) | | Baytex Energy Corp., 8.750%, 04/01/2027 | | 677,842 | | 0.0 |
975,000 | | (2) | | Canacol Energy Ltd., 5.750%, 11/24/2028 | | 791,437 | | 0.1 |
825,000 | | | | Cenovus Energy, Inc., 5.250%, 06/15/2037 | | 806,918 | | 0.1 |
900,000 | | (2) | | Chesapeake Energy Corp., 6.750%, 04/15/2029 | | 873,000 | | 0.1 |
325,000 | | (2) | | CNX Midstream Partners L.P., 4.750%, 04/15/2030 | | 273,413 | | 0.0 |
825,000 | | (2) | | Colgate Energy Partners III LLC, 5.875%, 07/01/2029 | | 724,032 | | 0.0 |
875,000 | | (2) | | Comstock Resources, Inc., 5.875%, 01/15/2030 | | 754,893 | | 0.0 |
1,025,000 | | (2) | | Crescent Energy Finance LLC, 7.250%, 05/01/2026 | | 934,651 | | 0.1 |
1,050,000 | | (1),(2) | | Crestwood Midstream Partners L.P. / Crestwood Midstream Finance Corp., 6.000%, 02/01/2029 | | 918,062 | | 0.1 |
425,000 | | | | DCP Midstream Operating L.P., 5.125%, 05/15/2029 | | 383,314 | | 0.0 |
250,000 | | | | DCP Midstream Operating L.P., 5.375%, 07/15/2025 | | 243,552 | | 0.0 |
100,000 | | | | DCP Midstream Operating L.P., 5.600%, 04/01/2044 | | 81,000 | | 0.0 |
650,000 | | | | DCP Midstream Operating L.P., 5.625%, 07/15/2027 | | 621,228 | | 0.0 |
600,000 | | | | Delek Logistics Partners L.P. / Delek Logistics Finance Corp., 6.750%, 05/15/2025 | | 560,292 | | 0.0 |
525,000 | | (2) | | Delek Logistics Partners L.P. / Delek Logistics Finance Corp., 7.125%, 06/01/2028 | | 473,458 | | 0.0 |
162,000 | | | | Devon Energy Corp., 4.500%, 01/15/2030 | | 153,195 | | 0.0 |
275,000 | | (2) | | DT Midstream, Inc., 4.125%, 06/15/2029 | | 233,859 | | 0.0 |
575,000 | | (2) | | DT Midstream, Inc., 4.375%, 06/15/2031 | | 483,299 | | 0.0 |
625,000 | | (2) | | Earthstone Energy Holdings LLC, 8.000%, 04/15/2027 | | 592,284 | | 0.0 |
1,800,000 | | | | Ecopetrol SA, 5.375%, 06/26/2026 | | 1,669,680 | | 0.1 |
2,500,000 | | | | Ecopetrol SA, 6.875%, 04/29/2030 | | 2,217,462 | | 0.1 |
1,450,000 | | (2) | | EIG Pearl Holdings Sarl, 3.545%, 08/31/2036 | | 1,241,615 | | 0.1 |
500,000 | | | | Empresa Nacional del Petroleo, 3.750%, 08/05/2026 | | 462,693 | | 0.0 |
1,200,000 | | | | Empresa Nacional del Petroleo, 5.250%, 11/06/2029 | | 1,140,000 | | 0.1 |
340,000 | | (2) | | Empresa Nacional del Petroleo, 5.250%, 11/06/2029 | | 323,000 | | 0.0 |
825,000 | | (2) | | Encino Acquisition Partners Holdings LLC, 8.500%, 05/01/2028 | | 780,785 | | 0.1 |
5,725,000 | | (4) | | Energy Transfer L.P., 7.125%, 12/31/2199 | | 4,927,230 | | 0.2 |
1,225,000 | | (1) | | EnLink Midstream LLC, 5.375%, 06/01/2029 | | 1,074,065 | | 0.1 |
700,000 | | (1),(2) | | Enviva Partners L.P. / Enviva Partners Finance Corp., 6.500%, 01/15/2026 | | 677,260 | | 0.0 |
285,000 | | | | EQM Midstream Partners L.P., 5.500%, 07/15/2028 | | 246,598 | | 0.0 |
131,000 | | (2) | | EQM Midstream Partners L.P., 6.000%, 07/01/2025 | | 125,834 | | 0.0 |
1,100,000 | | | | Gazprom PJSC Via Gaz Capital SA, 4.950%, 03/23/2027 | | 330,000 | | 0.0 |
750,000 | | | | Gazprom PJSC Via Gaz Capital SA, 4.950%, 02/06/2028 | | 279,375 | | 0.0 |
2,700,000 | | (2) | | Gazprom PJSC via Gaz Finance PLC, 3.250%, 02/25/2030 | | 810,000 | | 0.1 |
2,300,000 | | (2),(4) | | Gazprom PJSC via Gaz Finance PLC, 4.599%, 12/31/2199 | | 402,500 | | 0.0 |
500,000 | | (2) | | Hess Midstream Operations L.P., 4.250%, 02/15/2030 | | 419,675 | | 0.0 |
425,000 | | (1),(2) | | Hess Midstream Operations L.P., 5.125%, 06/15/2028 | | 382,245 | | 0.0 |
175,000 | | (2) | | Hess Midstream Operations L.P., 5.500%, 10/15/2030 | | 157,358 | | 0.0 |
400,000 | | (2) | | Hilcorp Energy I L.P. / Hilcorp Finance Co., 5.750%, 02/01/2029 | | 351,956 | | 0.0 |
535,000 | | (2) | | Hilcorp Energy I L.P. / Hilcorp Finance Co., 6.000%, 04/15/2030 | | 466,787 | | 0.0 |
475,000 | | (2) | | Hilcorp Energy I L.P. / Hilcorp Finance Co., 6.000%, 02/01/2031 | | 410,281 | | 0.0 |
725,000 | | (2) | | Howard Midstream Energy Partners LLC, 6.750%, 01/15/2027 | | 625,721 | | 0.0 |
1,625,000 | | | | KazMunayGas National Co. JSC, 4.750%, 04/19/2027 | | 1,463,735 | | 0.1 |
2,050,000 | | | | KazMunayGas National Co. JSC, 5.375%, 04/24/2030 | | 1,812,765 | | 0.1 |
300,000 | | (2) | | KazMunayGas National Co. JSC, 5.375%, 04/24/2030 | | 265,283 | | 0.0 |
925,000 | | (2) | | Kinetik Holdings L.P., 5.875%, 06/15/2030 | | 882,801 | | 0.1 |
2,250,000 | | (2) | | Lukoil Capital DAC, 3.600%, 10/26/2031 | | 1,234,687 | | 0.1 |
1,150,000 | | (1),(2) | | Moss Creek Resources Holdings, Inc., 7.500%, 01/15/2026 | | 1,030,573 | | 0.1 |
550,000 | | (1) | | Murphy Oil Corp., 5.875%, 12/01/2027 | | 514,300 | | 0.0 |
725,000 | | | | Murphy Oil Corp., 6.375%, 07/15/2028 | | 677,469 | | 0.0 |
750,000 | | (2) | | Nabors Industries Ltd., 7.500%, 01/15/2028 | | 645,964 | | 0.0 |
255,000 | | | | Nabors Industries, Inc., 5.100%, 09/15/2023 | | 255,992 | | 0.0 |
300,000 | | (2) | | Nabors Industries, Inc., 7.375%, 05/15/2027 | | 285,377 | | 0.0 |
625,000 | | (2) | | Oasis Petroleum, Inc., 6.375%, 06/01/2026 | | 579,056 | | 0.0 |
400,000 | | | | Occidental Petroleum Corp., 4.625%, 06/15/2045 | | 329,492 | | 0.0 |
1,005,000 | | | | Occidental Petroleum Corp., 5.500%, 12/01/2025 | | 991,563 | | 0.1 |
1,300,000 | | (1) | | Occidental Petroleum Corp., 6.625%, 09/01/2030 | | 1,341,366 | | 0.1 |
575,000 | | | | Occidental Petroleum Corp., 8.500%, 07/15/2027 | | 633,699 | | 0.0 |
1,000,000 | | (2) | | Oleoducto Central SA, 4.000%, 07/14/2027 | | 835,901 | | 0.1 |
2,100,000 | | (2) | | Pertamina Persero PT, 2.300%, 02/09/2031 | | 1,710,643 | | 0.1 |
1,375,000 | | (2) | | Pertamina Persero PT, 3.100%, 01/21/2030 | | 1,212,544 | | 0.1 |
750,000 | | (2) | | Pertamina Persero PT, 3.100%, 08/27/2030 | | 656,815 | | 0.0 |
2,121,000 | | (1) | | Petrobras Global Finance BV, 5.600%, 01/03/2031 | | 1,974,184 | | 0.1 |
1,000,000 | | | | Petroleos del Peru SA, 4.750%, 06/19/2032 | | 774,625 | | 0.0 |
9,950,000 | | | | Petroleos Mexicanos, 5.950%, 01/28/2031 | | 7,307,778 | | 0.3 |
33,000 | | | | Petroleos Mexicanos, 6.700%, 02/16/2032 | | 25,232 | | 0.0 |
2,000,000 | | (2) | | PTTEP Treasury Center Co. Ltd., 2.587%, 06/10/2027 | | 1,852,185 | | 0.1 |
975,000 | | (2) | | Qatar Energy, 3.125%, 07/12/2041 | | 767,042 | | 0.0 |
1,625,000 | | (2) | | Reliance Industries Ltd., 2.875%, 01/12/2032 | | 1,349,723 | | 0.1 |
1,700,000 | | (2) | | Reliance Industries Ltd., 3.625%, 01/12/2052 | | 1,236,297 | | 0.1 |
750,000 | | (2) | | Saudi Arabian Oil Co., 3.250%, 11/24/2050 | | 546,464 | | 0.0 |
642,000 | | (2) | | Strathcona Resources Ltd., 6.875%, 08/01/2026 | | 585,116 | | 0.0 |
625,000 | | (2) | | SunCoke Energy, Inc., 4.875%, 06/30/2029 | | 500,271 | | 0.0 |
250,000 | | | | Sunoco L.P. / Sunoco Finance Corp., 4.500%, 05/15/2029 | | 206,555 | | 0.0 |
650,000 | | (2) | | Sunoco L.P. / Sunoco Finance Corp., 4.500%, 04/30/2030 | | 525,969 | | 0.0 |
350,000 | | (2) | | Tallgrass Energy Partners L.P. / Tallgrass Energy Finance Corp., 5.500%, 01/15/2028 | | 298,053 | | 0.0 |
450,000 | | (2) | | Tallgrass Energy Partners L.P. / Tallgrass Energy Finance Corp., 7.500%, 10/01/2025 | | 436,284 | | 0.0 |
950,000 | | (2) | | Tengizchevroil Finance Co. International Ltd., 3.250%, 08/15/2030 | | 726,095 | | 0.0 |
656,250 | | (2) | | Transocean Poseidon Ltd., 6.875%, 02/01/2027 | | 578,356 | | 0.0 |
475,000 | | (2) | | Transocean, Inc., 7.500%, 01/15/2026 | | 340,276 | | 0.0 |
1,025,000 | | (1),(2) | | Weatherford International Ltd., 8.625%, 04/30/2030 | | 852,530 | | 0.1 |
975,000 | | | | Western Midstream Operating L.P., 5.450%, 04/01/2044 | | 812,243 | | 0.1 |
| | | | | | 74,550,918 | | 3.4 |
| | | | | | | | |
| | | | Financial: 2.5% | | | | |
500,000 | | | | Ally Financial, Inc., 5.750%, 11/20/2025 | | 493,394 | | 0.0 |
3,625,000 | | | | American Express Co., 3.375%, 05/03/2024 | | 3,602,258 | | 0.2 |
745,000 | | (2) | | AmWINS Group, Inc., 4.875%, 06/30/2029 | | 611,036 | | 0.0 |
625,000 | | (2) | | Aretec Escrow Issuer, Inc., 7.500%, 04/01/2029 | | 533,628 | | 0.0 |
900,000 | | (2) | | AssuredPartners, Inc., 5.625%, 01/15/2029 | | 721,720 | | 0.1 |
1,550,000 | | (2) | | Banco Internacional del Peru SAA Interbank, 3.250%, 10/04/2026 | | 1,425,635 | | 0.1 |
1,250,000 | | | | Banco Nacional de Panama, 2.500%, 08/11/2030 | | 995,125 | | 0.1 |
3,325,000 | | (1),(2),(4) | | Bangkok Bank PCL/Hong Kong, 5.000%, 12/31/2199 | | 3,061,194 | | 0.2 |
3,300,000 | | | | Bank Hapoalim, 3.255%, 01/21/2032 | | 2,821,500 | | 0.1 |
7,636,000 | | (4) | | Bank of America Corp., 1.530%, 12/06/2025 | | 7,113,329 | | 0.3 |
7,132,000 | | (1),(4) | | Bank of America Corp., 6.125%, 12/31/2199 | | 6,895,753 | | 0.3 |
875,000 | | (2) | | BroadStreet Partners, Inc., 5.875%, 04/15/2029 | | 686,026 | | 0.0 |
625,000 | | (2) | | Burford Capital Global Finance LLC, 6.875%, 04/15/2030 | | 550,257 | | 0.0 |
5,076,000 | | (4) | | Capital One Financial Corp., 4.166%, 05/09/2025 | | 5,004,992 | | 0.2 |
2,190,000 | | (1),(2) | | Corebridge Financial, Inc., 4.400%, 04/05/2052 | | 1,830,807 | | 0.1 |
2,250,000 | | (2) | | Credit Bank of Moscow Via CBOM Finance PLC, 3.875%, 09/21/2026 | | 506,250 | | 0.0 |
875,000 | | (2) | | Cushman & Wakefield US Borrower LLC, 6.750%, 05/15/2028 | | 814,236 | | 0.1 |
1,000,000 | | (2) | | Development Bank of Kazakhstan JSC, 2.950%, 05/06/2031 | | 756,885 | | 0.1 |
255,000 | | (1),(2) | | Freedom Mortgage Corp., 6.625%, 01/15/2027 | | 189,332 | | 0.0 |
375,000 | | (1),(2) | | Freedom Mortgage Corp., 7.625%, 05/01/2026 | | 293,003 | | 0.0 |
527,000 | | (2) | | Freedom Mortgage Corp., 8.250%, 04/15/2025 | | 444,309 | | 0.0 |
1,050,000 | | (2),(4) | | Kookmin Bank, 4.350%, 12/31/2199 | | 1,007,822 | | 0.1 |
825,000 | | (2) | | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 4.750%, 06/15/2029 | | 636,222 | | 0.0 |
400,000 | | (2) | | Midcap Financial Issuer Trust, 5.625%, 01/15/2030 | | 312,750 | | 0.0 |
515,000 | | (2) | | Midcap Financial Issuer Trust, 6.500%, 05/01/2028 | | 444,375 | | 0.0 |
675,000 | | (1) | | MPT Operating Partnership L.P. / MPT Finance Corp., 5.000%, 10/15/2027 | | 618,779 | | 0.0 |
1,949,000 | | (2),(4) | | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, 5.875%, 05/23/2042 | | 1,965,742 | | 0.1 |
2,591,000 | | | | Nasdaq, Inc., 3.950%, 03/07/2052 | | 2,111,703 | | 0.1 |
850,000 | | (1),(2) | | Nationstar Mortgage Holdings, Inc., 5.125%, 12/15/2030 | | 636,450 | | 0.0 |
875,000 | | (1) | | Navient Corp., 4.875%, 03/15/2028 | | 685,178 | | 0.0 |
475,000 | | (1) | | Navient Corp., 5.000%, 03/15/2027 | | 391,388 | | 0.0 |
165,000 | | | | Navient Corp., 7.250%, 09/25/2023 | | 163,535 | | 0.0 |
1,100,000 | | (2),(4) | | NBK Tier 1 Financing 2 Ltd., 4.500%, 12/31/2199 | | 1,038,455 | | 0.1 |
425,000 | | (1) | | OneMain Finance Corp., 4.000%, 09/15/2030 | | 315,609 | | 0.0 |
1,050,000 | | (1) | | OneMain Finance Corp., 5.375%, 11/15/2029 | | 852,847 | | 0.1 |
700,000 | | (2) | | PRA Group, Inc., 5.000%, 10/01/2029 | | 581,014 | | 0.0 |
255,000 | | (2) | | Realogy Group LLC / Realogy Co-Issuer Corp., 5.250%, 04/15/2030 | | 189,377 | | 0.0 |
800,000 | | (1),(2) | | Realogy Group LLC / Realogy Co-Issuer Corp., 5.750%, 01/15/2029 | | 608,000 | | 0.0 |
700,000 | | (2) | | RLJ Lodging Trust L.P., 4.000%, 09/15/2029 | | 576,245 | | 0.0 |
500,000 | | (2),(4) | | Shinhan Financial Group Co. Ltd., 2.875%, 12/31/2199 | | 445,000 | | 0.0 |
733,000 | | (4) | | Truist Financial Corp., 5.100%, 12/31/2199 | | 667,030 | | 0.0 |
1,000,000 | | (1),(2) | | United Wholesale Mortgage LLC, 5.750%, 06/15/2027 | | 803,340 | | 0.1 |
325,000 | | (2) | | Uniti Group L.P. / Uniti Fiber Holdings, Inc. / CSL Capital LLC, 6.000%, 01/15/2030 | | 225,267 | | 0.0 |
500,000 | | (2) | | Uniti Group L.P. / Uniti Group Finance, Inc. / CSL Capital LLC, 6.500%, 02/15/2029 | | 367,720 | | 0.0 |
700,000 | | (1),(2) | | VistaJet Malta Finance PLC / XO Management Holding, Inc., 6.375%, 02/01/2030 | | 561,848 | | 0.0 |
725,000 | | (2) | | XHR L.P., 4.875%, 06/01/2029 | | 623,045 | | 0.0 |
| | | | | | 56,179,410 | | 2.5 |
| | | | | | | | |
| | | | Industrial: 1.3% | | | | |
1,025,000 | | (2),(3) | | ARD Finance SA, 6.500% (PIK Rate 7.250%, Cash Rate 6.500%), 06/30/2027 | | 761,964 | | 0.1 |
775,000 | | (2) | | Brundage-Bone Concrete Pumping Holdings, Inc., 6.000%, 02/01/2026 | | 657,370 | | 0.0 |
200,000 | | (2) | | Builders FirstSource, Inc., 4.250%, 02/01/2032 | | 152,617 | | 0.0 |
475,000 | | (2) | | Builders FirstSource, Inc., 5.000%, 03/01/2030 | | 403,144 | | 0.0 |
950,000 | | (2) | | Cargo Aircraft Management, Inc., 4.750%, 02/01/2028 | | 867,796 | | 0.1 |
1,025,000 | | (2) | | Cascades, Inc./Cascades USA, Inc., 5.375%, 01/15/2028 | | 873,126 | | 0.1 |
575,000 | | (1),(2),(4) | | Cemex SAB de CV, 5.125%, 12/31/2199 | | 489,702 | | 0.0 |
1,275,000 | | (1),(2) | | Cemex SAB de CV, 5.200%, 09/17/2030 | | 1,094,058 | | 0.1 |
500,000 | | (2) | | Empresa de Transporte de Pasajeros Metro SA, 3.693%, 09/13/2061 | | 327,833 | | 0.0 |
2,217,000 | | | | FedEx Corp., 4.100%, 02/01/2045 | | 1,861,305 | | 0.1 |
775,000 | | (2) | | Fortress Transportation and Infrastructure Investors LLC, 5.500%, 05/01/2028 | | 641,909 | | 0.0 |
875,000 | | (1),(2) | | GFL Environmental, Inc., 4.000%, 08/01/2028 | | 723,249 | | 0.1 |
425,000 | | (2) | | GFL Environmental, Inc., 4.375%, 08/15/2029 | | 342,718 | | 0.0 |
325,000 | | (2) | | Global Infrastructure Solutions, Inc., 5.625%, 06/01/2029 | | 254,257 | | 0.0 |
350,000 | | (2) | | Global Infrastructure Solutions, Inc., 7.500%, 04/15/2032 | | 269,200 | | 0.0 |
625,000 | | (2) | | GrafTech Finance, Inc., 4.625%, 12/15/2028 | | 507,007 | | 0.0 |
775,000 | | (1),(2) | | Graham Packaging Co., Inc., 7.125%, 08/15/2028 | | 623,003 | | 0.0 |
600,000 | | (2) | | Granite US Holdings Corp., 11.000%, 10/01/2027 | | 564,795 | | 0.0 |
775,000 | | (2) | | II-VI, Inc., 5.000%, 12/15/2029 | | 678,036 | | 0.0 |
775,000 | | (2) | | Imola Merger Corp., 4.750%, 05/15/2029 | | 650,992 | | 0.0 |
2,775,000 | | (1),(2) | | Indian Railway Finance Corp. Ltd., 3.249%, 02/13/2030 | | 2,405,385 | | 0.1 |
325,000 | | (2),(3) | | Intelligent Packaging Holdco Issuer L.P., 9.000% (PIK Rate 9.750%, Cash Rate 9.000%), 01/15/2026 | | 289,348 | | 0.0 |
725,000 | | (2) | | Intelligent Packaging Ltd. Finco, Inc. / Intelligent Packaging Ltd. Co-Issuer LLC, 6.000%, 09/15/2028 | | 601,968 | | 0.0 |
1,550,000 | | (2) | | Klabin Austria GmbH, 5.750%, 04/03/2029 | | 1,467,392 | | 0.1 |
600,000 | | (2) | | Koppers, Inc., 6.000%, 02/15/2025 | | 558,126 | | 0.0 |
3,425,000 | | (2) | | Misc Capital Two Labuan Ltd., 3.750%, 04/06/2027 | | 3,220,611 | | 0.2 |
800,000 | | (2) | | New Enterprise Stone & Lime Co., Inc., 9.750%, 07/15/2028 | | 685,048 | | 0.1 |
1,005,000 | | (1),(2) | | PGT Innovations, Inc., 4.375%, 10/01/2029 | | 793,804 | | 0.1 |
575,000 | | (1),(2) | | Roller Bearing Co. of America, Inc., 4.375%, 10/15/2029 | | 489,996 | | 0.0 |
600,000 | | (2) | | Rolls-Royce PLC, 5.750%, 10/15/2027 | | 542,343 | | 0.0 |
585,000 | | (1),(2) | | Sensata Technologies, Inc., 3.750%, 02/15/2031 | | 469,890 | | 0.0 |
220,000 | | (2) | | Standard Industries, Inc./NJ, 3.375%, 01/15/2031 | | 162,702 | | 0.0 |
425,000 | | (2) | | Standard Industries, Inc./NJ, 4.375%, 07/15/2030 | | 335,999 | | 0.0 |
675,000 | | (2) | | Stevens Holding Co., Inc., 6.125%, 10/01/2026 | | 650,913 | | 0.0 |
1,475,000 | | (2) | | Summit Digitel Infrastructure Pvt Ltd., 2.875%, 08/12/2031 | | 1,140,994 | | 0.1 |
475,000 | | (2) | | Summit Materials LLC / Summit Materials Finance Corp., 5.250%, 01/15/2029 | | 415,278 | | 0.0 |
490,000 | | (2) | | Summit Materials LLC / Summit Materials Finance Corp., 6.500%, 03/15/2027 | | 473,411 | | 0.0 |
425,000 | | | | TransDigm, Inc., 4.625%, 01/15/2029 | | 343,122 | | 0.0 |
500,000 | | | | TransDigm, Inc., 5.500%, 11/15/2027 | | 425,845 | | 0.0 |
575,000 | | (1) | | TransDigm, Inc., 6.375%, 06/15/2026 | | 538,775 | | 0.0 |
700,000 | | (1),(2) | | Vertiv Group Corp., 4.125%, 11/15/2028 | | 569,422 | | 0.0 |
575,000 | | (2) | | Weekley Homes LLC / Weekley Finance Corp., 4.875%, 09/15/2028 | | 454,937 | | 0.0 |
| | | | | | 29,779,390 | | 1.3 |
| | | | | | | | |
| | | | Technology: 0.4% | | | | |
575,000 | | (2) | | Castle US Holding Corp., 9.500%, 02/15/2028 | | 491,788 | | 0.0 |
900,000 | | (2) | | Condor Merger Sub, Inc., 7.375%, 02/15/2030 | | 734,157 | | 0.1 |
625,000 | | (2) | | Consensus Cloud Solutions, Inc., 6.500%, 10/15/2028 | | 516,644 | | 0.0 |
345,000 | | (2) | | ENTEGRIS ESCROW CORP SR UNSECURED 144A 06/30 5.95, 6.950%, 06/15/2030 | | 328,971 | | 0.0 |
1,175,000 | | (1),(2) | | NCR Corp., 5.125%, 04/15/2029 | | 996,247 | | 0.1 |
175,000 | | (1),(2) | | Open Text Corp., 3.875%, 02/15/2028 | | 155,902 | | 0.0 |
300,000 | | (2) | | Open Text Corp., 3.875%, 12/01/2029 | | 252,900 | | 0.0 |
650,000 | | (2) | | Open Text Holdings, Inc., 4.125%, 02/15/2030 | | 563,267 | | 0.0 |
3,016,000 | | | | Oracle Corp., 3.950%, 03/25/2051 | | 2,219,849 | | 0.1 |
600,000 | | (1),(2) | | Playtika Holding Corp., 4.250%, 03/15/2029 | | 496,218 | | 0.0 |
825,000 | | (2) | | Rackspace Technology Global, Inc., 5.375%, 12/01/2028 | | 540,276 | | 0.0 |
810,000 | | (2) | | Veritas US, Inc. / Veritas Bermuda Ltd., 7.500%, 09/01/2025 | | 609,444 | | 0.0 |
825,000 | | (2) | | Virtusa Corp., 7.125%, 12/15/2028 | | 664,393 | | 0.1 |
| | | | | | 8,570,056 | | 0.4 |
| | | | | | | | |
| | | | Utilities: 2.0% | | | | |
1,325,000 | | (2) | | AES Panama Generation Holdings SRL, 4.375%, 05/31/2030 | | 1,135,555 | | 0.1 |
1,620,619 | | (2) | | Alfa Desarrollo SpA, 4.550%, 09/27/2051 | | 1,167,575 | | 0.1 |
85,000 | | (2) | | Clearway Energy Operating LLC, 3.750%, 01/15/2032 | | 67,496 | | 0.0 |
600,000 | | (2) | | Clearway Energy Operating LLC, 4.750%, 03/15/2028 | | 540,808 | | 0.0 |
1,850,000 | | (1),(2) | | Colbun SA, 3.150%, 03/06/2030 | | 1,547,226 | | 0.1 |
1,250,000 | | (2) | | Comision Federal de Electricidad, 4.688%, 05/15/2029 | | 1,122,032 | | 0.1 |
5,670,000 | | (4) | | Dominion Energy, Inc., 4.650%, 12/31/2199 | | 5,066,930 | | 0.2 |
600,000 | | (2) | | Drax Finco PLC, 6.625%, 11/01/2025 | | 586,356 | | 0.0 |
2,739,000 | | (1),(4) | | Duke Energy Corp., 4.875%, 12/31/2199 | | 2,499,337 | | 0.1 |
895,000 | | | | Duke Energy Florida LLC, 4.200%, 07/15/2048 | | 817,847 | | 0.0 |
1,266,000 | | | | Duke Energy Indiana LLC, 3.250%, 10/01/2049 | | 981,757 | | 0.1 |
3,175,000 | | | | Inkia Energy Ltd., 5.875%, 11/09/2027 | | 2,911,475 | | 0.1 |
2,500,000 | | (2) | | Israel Electric Corp. Ltd., 3.750%, 02/22/2032 | | 2,241,398 | | 0.1 |
500,000 | | (2) | | Israel Electric Corp. Ltd., 4.250%, 08/14/2028 | | 481,871 | | 0.0 |
4,907,000 | | (4) | | National Rural Utilities Cooperative Finance Corp., 4.750%, 04/30/2043 | | 4,560,183 | | 0.2 |
2,875,000 | | (4) | | NextEra Energy Capital Holdings, Inc., 5.650%, 05/01/2079 | | 2,529,341 | | 0.1 |
2,325,000 | | (2) | | Perusahaan Listrik Negara PT, 3.875%, 07/17/2029 | | 2,101,695 | | 0.1 |
2,950,000 | | | | Perusahaan Listrik Negara PT, 5.450%, 05/21/2028 | | 2,983,851 | | 0.1 |
300,000 | | (2) | | Promigas SA ESP / Gases del Pacifico SAC, 3.750%, 10/16/2029 | | 242,456 | | 0.0 |
3,938,000 | | | | South Jersey Industries, Inc., 5.020%, 04/15/2031 | | 3,511,276 | | 0.2 |
3,625,000 | | (4) | | Southern Co/The, 4.000%, 01/15/2051 | | 3,258,803 | | 0.2 |
2,538,000 | | | | Southern Co/The, 4.475%, 08/01/2024 | | 2,549,652 | | 0.1 |
300,000 | | (2) | | Vistra Operations Co. LLC, 5.500%, 09/01/2026 | | 283,845 | | 0.0 |
625,000 | | (2) | | Vistra Operations Co. LLC, 5.625%, 02/15/2027 | | 588,944 | | 0.0 |
| | | | | | 43,777,709 | | 2.0 |
| | | | | | | | |
| | Total Corporate Bonds/Notes | | | | |
| | (Cost $453,885,126) | | 383,905,515 | | 17.4 |
| | | | | | | | |
COLLATERALIZED MORTGAGE OBLIGATIONS: 23.5% | | | |
230,373 | | (4) | | Adjustable Rate Mortgage Trust 2006-2 1A1, 3.223%, 05/25/2036 | | 211,866 | | 0.0 |
1,359,748 | | (2),(4) | | Agate Bay Mortgage Trust 2015-2 B3, 3.632%, 03/25/2045 | | 1,314,379 | | 0.1 |
537,171 | | (2),(4) | | Agate Bay Mortgage Trust 2015-4 B3, 3.528%, 06/25/2045 | | 513,629 | | 0.0 |
1,690,514 | | (2),(4) | | Agate Bay Mortgage Trust 2016-1 B3, 3.659%, 12/25/2045 | | 1,528,788 | | 0.1 |
1,000,000 | | (2),(4) | | Agate Bay Mortgage Trust 2016-1 B4, 3.659%, 12/25/2045 | | 956,682 | | 0.0 |
1,137,085 | | (2),(4) | | Agate Bay Mortgage Trust 2016-2 B4, 3.767%, 03/25/2046 | | 974,941 | | 0.1 |
459,289 | | | | Alternative Loan Trust 2004-J7 MI, 2.644%, (US0001M + 1.020%), 10/25/2034 | | 460,996 | | 0.0 |
354,122 | | | | Alternative Loan Trust 2005-10CB 1A2, 2.074%, (US0001M + 0.450%), 05/25/2035 | | 271,662 | | 0.0 |
349,161 | | | | Alternative Loan Trust 2005-23CB A15, 5.500%, 07/25/2035 | | 301,601 | | 0.0 |
38,656 | | | | Alternative Loan Trust 2005-6CB 1A3, 5.250%, 04/25/2035 | | 34,686 | | 0.0 |
197,164 | | | | Alternative Loan Trust 2005-J2 1A12, 2.024%, (US0001M + 0.400%), 04/25/2035 | | 161,410 | | 0.0 |
30,921 | | | | Alternative Loan Trust 2006-13T1 A9, 6.000%, 05/25/2036 | | 17,068 | | 0.0 |
499,482 | | | | Alternative Loan Trust 2006-18CB A10, 2.024%, (US0001M + 0.400%), 07/25/2036 | | 237,409 | | 0.0 |
118,401 | | | | Alternative Loan Trust 2006-19CB A12, 2.024%, (US0001M + 0.400%), 08/25/2036 | | 61,245 | | 0.0 |
501,403 | | | | Alternative Loan Trust 2006-19CB A28, 2.224%, (US0001M + 0.600%), 08/25/2036 | | 265,561 | | 0.0 |
874,109 | | | | Alternative Loan Trust 2006-27CB A5, 6.000%, 11/25/2036 | | 578,877 | | 0.0 |
280,844 | | | | Alternative Loan Trust 2006-HY11 A1, 1.864%, (US0001M + 0.120%), 06/25/2036 | | 264,377 | | 0.0 |
882,938 | | | | Alternative Loan Trust 2007-15CB A5, 5.750%, 07/25/2037 | | 615,674 | | 0.0 |
124,091 | | | | Alternative Loan Trust 2007-2CB 2A1, 2.224%, (US0001M + 0.600%), 03/25/2037 | | 59,292 | | 0.0 |
199,124 | | | | Alternative Loan Trust 2007-HY8C A1, 1.944%, (US0001M + 0.320%), 09/25/2047 | | 182,350 | | 0.0 |
612,061 | | | | Alternative Loan Trust 2007-OA4 A1, 1.964%, (US0001M + 0.170%), 05/25/2047 | | 537,540 | | 0.0 |
610,745 | | (2),(4) | | Arroyo Mortgage Trust 2019-3 A3, 3.416%, 10/25/2048 | | 589,536 | | 0.0 |
312,808 | | | | Banc of America Funding 2007-2 1A16 Trust, 2.224%, (US0001M + 0.600%), 03/25/2037 | | 251,760 | | 0.0 |
1,645,350 | | | | Banc of America Funding 2007-C 7A1 Trust, 2.032%, (US0001M + 0.210%), 05/20/2047 | | 1,530,791 | | 0.1 |
175,692 | | (4) | | Bear Stearns ALT-A Trust 2005-3 4A3, 2.529%, 04/25/2035 | | 174,327 | | 0.0 |
402,057 | | (4) | | Bear Stearns ALT-A Trust 2006-6 31A1, 3.128%, 11/25/2036 | | 263,521 | | 0.0 |
580,574 | | (4) | | Bear Stearns ALT-A Trust 2006-6 32A1, 2.954%, 11/25/2036 | | 327,916 | | 0.0 |
116,268 | | (4) | | Bear Stearns Structured Products, Inc. Trust 2007-R6 1A1, 3.490%, 01/26/2036 | | 96,351 | | 0.0 |
1,300,000 | | (2) | | Bellemeade Re 2019-1A M2 Ltd., 4.324%, (US0001M + 2.700%), 03/25/2029 | | 1,280,137 | | 0.1 |
371,008 | | (2) | | Bellemeade Re 2019-4 M1B Ltd., 3.624%, (US0001M + 2.000%), 10/25/2029 | | 370,579 | | 0.0 |
2,100,000 | | (2) | | Bellemeade Re 2021-3 A M1C Ltd., 2.476%, (SOFR30A + 1.550%), 09/25/2031 | | 1,896,646 | | 0.1 |
147,883 | | (2),(4) | | Chase Home Lending Mortgage Trust 2019-ATR2 A3, 3.500%, 07/25/2049 | | 140,506 | | 0.0 |
945,172 | | (2),(4) | | Chase Mortgage Finance Corp. 2019-1 B2, 3.913%, 03/25/2050 | | 862,706 | | 0.0 |
1,229,499 | | (2),(4) | | Chase Mortgage Finance Corp. 2019-1 B3, 3.913%, 03/25/2050 | | 1,032,310 | | 0.1 |
324,161 | | (4) | | Chase Mortgage Finance Trust Series 2006-A1 2A3, 3.109%, 09/25/2036 | | 290,226 | | 0.0 |
46,178 | | (4) | | CHL Mortgage Pass-Through Trust 2004-22 A3, 2.711%, 11/25/2034 | | 44,524 | | 0.0 |
307,316 | | | | CHL Mortgage Pass-Through Trust 2005-HYB9 2A1, 1.987%, (US0012M + 1.750%), 02/20/2036 | | 282,721 | | 0.0 |
2,200,297 | | (2),(4) | | CHNGE Mortgage Trust 2022-1 A1, 3.007%, 01/25/2067 | | 2,081,416 | | 0.1 |
187,806 | | (2),(4) | | CIM Trust 2019-INV1 A1, 4.000%, 02/25/2049 | | 185,693 | | 0.0 |
198,606 | | (2),(4) | | CIM Trust 2019-INV2 A3, 4.000%, 05/25/2049 | | 195,069 | | 0.0 |
192,822 | | (2),(4) | | CIM Trust 2019-INV3 A15, 3.500%, 08/25/2049 | | 185,420 | | 0.0 |
289,233 | | (2),(4) | | CIM Trust 2019-INV3 A3, 3.500%, 08/25/2049 | | 276,950 | | 0.0 |
1,657,926 | | (2),(4) | | CIM Trust 2019-J1 B3, 3.948%, 08/25/2049 | | 1,551,099 | | 0.1 |
3,056,568 | | (2),(4) | | CIM Trust 2019-J2 B2, 3.770%, 10/25/2049 | | 2,812,346 | | 0.1 |
1,919,284 | | (2),(4) | | CIM Trust 2019-J2 B3, 3.770%, 10/25/2049 | | 1,759,018 | | 0.1 |
1,249,110 | | (2),(4) | | CIM Trust 2020-J2 B3, 2.762%, 01/25/2051 | | 993,112 | | 0.1 |
1,865,842 | | (2),(4) | | CIM Trust 2021-J3 B3, 2.619%, 06/25/2051 | | 1,470,696 | | 0.1 |
397,593 | | | | Citicorp Mortgage Securities Trust Series 2006-3 1A4, 6.000%, 06/25/2036 | | 368,713 | | 0.0 |
79,716 | | (4) | | Citigroup Mortgage Loan Trust 2006-AR2 1A1, 2.845%, 03/25/2036 | | 64,934 | | 0.0 |
34,408 | | (4) | | Citigroup Mortgage Loan Trust 2006-AR9 2A, 2.912%, 11/25/2036 | | 30,206 | | 0.0 |
209,196 | | (2),(4) | | Citigroup Mortgage Loan Trust 2015-A B2, 4.500%, 06/25/2058 | | 203,874 | | 0.0 |
95,721 | | (4) | | Citigroup Mortgage Loan Trust, Inc. 2005-4 A, 2.651%, 08/25/2035 | | 94,455 | | 0.0 |
315,221 | | | | Citigroup Mortgage Loan Trust, Inc. 2005-9 22A2, 6.000%, 11/25/2035 | | 310,646 | | 0.0 |
650,658 | | (2) | | Connecticut Avenue Securities Trust 2019-R07 1M2, 3.724%, (US0001M + 2.100%), 10/25/2039 | | 646,101 | | 0.0 |
700,000 | | (2) | | Connecticut Avenue Securities Trust 2020-R02 2B1, 4.624%, (US0001M + 3.000%), 01/25/2040 | | 607,507 | | 0.0 |
2,041,575 | | (2) | | Connecticut Avenue Securities Trust 2020-R02 2M2, 3.624%, (US0001M + 2.000%), 01/25/2040 | | 2,012,286 | | 0.1 |
2,500,000 | | (2) | | Connecticut Avenue Securities Trust 2022-R01 1B1, 4.076%, (SOFR30A + 3.150%), 12/25/2041 | | 2,144,666 | | 0.1 |
750,000 | | (2) | | Connecticut Avenue Securities Trust 2022-R04 1B1, 6.176%, (SOFR30A + 5.250%), 03/25/2042 | | 699,568 | | 0.0 |
20,015 | | | | Countrywide Alternative Loan Trust 2005-53T2 2A6, 2.124%, (US0001M + 0.500%), 11/25/2035 | | 10,413 | | 0.0 |
325,741 | | (2),(4) | | CSMC 2017-HL1 A12 Trust, 3.500%, 06/25/2047 | | 303,738 | | 0.0 |
2,006,111 | | (2) | | CSMC 2019-AFC1 A3 Trust, 2.877%, 07/25/2049 | | 1,925,058 | | 0.1 |
2,969,575 | | (2),(4) | | CSMC 2021-AFC1 M1 Trust, 2.193%, 03/25/2056 | | 2,472,608 | | 0.1 |
304,809 | | | | CSMC Series 2007-2 3A6, 5.400%, 03/25/2037 | | | 187,468 | | 0.0 |
468,786 | | (2),(4) | | CSMC Trust 2013-7 A11, 3.500%, 08/25/2043 | | | 437,696 | | 0.0 |
6,491,509 | | (2),(4) | | Deephaven Residential Mortgage Trust 2022-2 A1, 4.300%, 03/25/2067 | | | 6,295,380 | | 0.3 |
2,378,888 | | (2),(4) | | Deephaven Residential Mortgage Trust 2022-2 A3, 4.300%, 03/25/2067 | | | 2,288,502 | | 0.1 |
415,500 | | | | Deutsche ALT-A Securities, Inc. ALT 2007-AB1 A1, 1.924%, (US0001M + 0.300%), 04/25/2037 | | | 292,076 | | 0.0 |
88,564 | | (2),(4) | | Deutsche Mortgage Securities, Inc. Re-REMIC Trust Certificates Series 2007-WM1 A1, 3.478%, 06/27/2037 | | | 85,756 | | 0.0 |
979,008 | | (2),(4) | | Ellington Financial Mortgage Trust 2022-2 A1, 4.299%, 04/25/2067 | | | 957,537 | | 0.0 |
1,700,000 | | (2) | | Fannie Mae Connecticut Avenue Securities Trust 2020-SBT1 1M2, 5.274%, (US0001M + 3.650%), 02/25/2040 | | | 1,631,717 | | 0.1 |
441,004 | | (5) | | Fannie Mae 2007-18 BS, 4.976%, (-1.000*US0001M + 6.600%), 06/25/2035 | | | 59,828 | | 0.0 |
1,491,669 | | (5) | | Fannie Mae 2008-94 SI, 3.876%, (-1.000*US0001M + 5.500%), 04/25/2036 | | | 183,795 | | 0.0 |
178,440 | | | | Fannie Mae 2010-15 FD, 2.364%, (US0001M + 0.740%), 03/25/2040 | | | 180,545 | | 0.0 |
459,207 | | | | Fannie Mae 2011-47 GF, 2.194%, (US0001M + 0.570%), 06/25/2041 | | | 461,236 | | 0.0 |
49,706 | | | | Fannie Mae 2012-10 UF, 2.174%, (US0001M + 0.550%), 02/25/2042 | | | 49,916 | | 0.0 |
180,910 | | (5) | | Fannie Mae 2012-84 KI, 6.000%, (US0001M + 6.000%), 08/25/2042 | | | 43,451 | | 0.0 |
481,010 | | (5) | | Fannie Mae 2012-93 IL, 3.000%, 09/25/2027 | | | 22,460 | | 0.0 |
3,039,551 | | (5) | | Fannie Mae 2013-67 AI, 3.000%, 07/25/2028 | | | 147,208 | | 0.0 |
36,308 | | (5) | | Fannie Mae 2015-56 DI, 3.000%, 12/25/2032 | | | 74 | | 0.0 |
20,948,694 | | (5) | | Fannie Mae 2018-86 US, 4.576%, (-1.000*US0001M + 6.200%), 12/25/2048 | | | 2,351,019 | | 0.1 |
32 | | | | Fannie Mae Connecticut Avenue Securities, 7.324%, (US0001M + 5.700%), 04/25/2028 | | | 34 | | 0.0 |
45,471 | | | | Fannie Mae Connecticut Avenue Securities 2014-CO4 1M2, 6.524%, (US0001M + 4.900%), 11/25/2024 | | | 46,795 | | 0.0 |
613,431 | | | | Fannie Mae Connecticut Avenue Securities 2015-C02 1M2, 5.624%, (US0001M + 4.000%), 05/25/2025 | | | 617,151 | | 0.0 |
1,213,613 | | | | Fannie Mae Connecticut Avenue Securities 2015-C04 2M2, 7.174%, (US0001M + 5.550%), 04/25/2028 | | | 1,254,383 | | 0.1 |
1,218,546 | | | | Fannie Mae Connecticut Avenue Securities 2015-CO1 1M2, 5.924%, (US0001M + 4.300%), 02/25/2025 | | | 1,232,280 | | 0.1 |
1,328,035 | | | | Fannie Mae Connecticut Avenue Securities 2017-C01 1M2, 5.174%, (US0001M + 3.550%), 07/25/2029 | | | 1,357,442 | | 0.1 |
5,482,887 | | | | Fannie Mae Connecticut Avenue Securities 2017-C03 1M2, 4.624%, (US0001M + 3.000%), 10/25/2029 | | | 5,536,196 | | 0.3 |
1,024,565 | | | | Fannie Mae Connecticut Avenue Securities 2017-C04 2M2, 4.474%, (US0001M + 2.850%), 11/25/2029 | | | 1,028,173 | | 0.1 |
3,609,662 | | | | Fannie Mae Connecticut Avenue Securities 2017-C07 2M2, 4.124%, (US0001M + 2.500%), 05/25/2030 | | | 3,604,309 | | 0.2 |
3,276,554 | | | | Fannie Mae Connecticut Avenue Securities 2017-CO6 2M2, 4.424%, (US0001M + 2.800%), 02/25/2030 | | | 3,288,036 | | 0.2 |
1,020,000 | | | | Fannie Mae Connecticut Avenue Securities 2018-C05 1B1, 5.874%, (US0001M + 4.250%), 01/25/2031 | | | 1,007,317 | | 0.1 |
4,607,907 | | | | Fannie Mae Connecticut Avenue Securities 2018-C06 1M2, 3.624%, (US0001M + 2.000%), 03/25/2031 | | | 4,561,036 | | 0.2 |
2,902,495 | | | | Fannie Mae Connecticut Avenue Securities 2018-C06 2M2, 3.724%, (US0001M + 2.100%), 03/25/2031 | | | 2,846,976 | | 0.1 |
4,686,632 | | | | Fannie Mae Connecticut Avenue Securities 2018-CO1 1M2, 3.874%, (US0001M + 2.250%), 07/25/2030 | | | 4,690,730 | | 0.2 |
591,982 | | (2) | | Fannie Mae Connecticut Avenue Securities 2019-R02 1M2, 3.924%, (US0001M + 2.300%), 08/25/2031 | | | 592,125 | | 0.0 |
291,545 | | (2) | | Fannie Mae Connecticut Avenue Securities 2019-RO3 1M2, 3.774%, (US0001M + 2.150%), 09/25/2031 | | | 291,089 | | 0.0 |
796,631 | | (2) | | Fannie Mae Connecticut Avenue Securities Trust 2019-R01 2M2, 4.074%, (US0001M + 2.450%), 07/25/2031 | | | 792,030 | | 0.0 |
927,511 | | (2) | | Fannie Mae Connecticut Avenue Securities Trust 2019-R05 1B1, 5.724%, (US0001M + 4.100%), 07/25/2039 | | | 908,360 | | 0.0 |
1,523,274 | | (2) | | Fannie Mae Connecticut Avenue Securities Trust 2020-R01 1M2, 3.674%, (US0001M + 2.050%), 01/25/2040 | | | 1,492,073 | | 0.1 |
3,898,000 | | (2) | | Fannie Mae Connecticut Avenue Securities Trust 2020-SBT1 2M2, 5.274%, (US0001M + 3.650%), 02/25/2040 | | | 3,730,734 | | 0.2 |
498,170 | | (5) | | Fannie Mae Interest Strip Series 346 6, 5.000%, 10/25/2033 | | | 82,971 | | 0.0 |
93,590 | | (5) | | Fannie Mae REMIC Trust 2000-26 SP, 6.876%, (-1.000*US0001M + 8.500%), 08/25/2030 | | | 8,645 | | 0.0 |
118,017 | | (5) | | Fannie Mae REMIC Trust 2002-13 SR, 4.976%, (-1.000*US0001M + 6.600%), 03/25/2032 | | | 9,758 | | 0.0 |
71,811 | | (5) | | Fannie Mae REMIC Trust 2004-64 SW, 5.426%, (-1.000*US0001M + 7.050%), 08/25/2034 | | | 9,167 | | 0.0 |
49,925 | | (5) | | Fannie Mae REMIC Trust 2004-66 SE, 4.876%, (-1.000*US0001M + 6.500%), 09/25/2034 | | | 5,478 | | 0.0 |
253,827 | | (5) | | Fannie Mae REMIC Trust 2009-25 SN, 4.926%, (-1.000*US0001M + 6.550%), 04/25/2039 | | | 38,220 | | 0.0 |
9,812,752 | | (5) | | Fannie Mae REMIC Trust 2012-66 IB, 0.050%, (-1.000*US0001M + 6.050%), 06/25/2042 | | | 30,496 | | 0.0 |
277,189 | | (5) | | Fannie Mae REMIC Trust 2013-116 SC, 4.576%, (-1.000*US0001M + 6.200%), 04/25/2033 | | | 11,545 | | 0.0 |
1,261,204 | | (5) | | Fannie Mae REMICS 2004-53 UC, 5.926%, (-1.000*US0001M + 7.550%), 07/25/2034 | | | 201,196 | | 0.0 |
919,688 | | (5) | | Fannie Mae REMICS 2005-59 NS, 5.126%, (-1.000*US0001M + 6.750%), 05/25/2035 | | | 59,176 | | 0.0 |
102,507 | | | | Fannie Mae REMICS 2006-46 SP, 18.247%, (-3.667*US0001M + 24.200%), 06/25/2036 | | | 185,938 | | 0.0 |
3,724,077 | | (5) | | Fannie Mae REMICS 2007-22 SD, 4.776%, (-1.000*US0001M + 6.400%), 03/25/2037 | | | 554,966 | | 0.0 |
3,594,631 | | (5) | | Fannie Mae REMICS 2007-30 IE, 5.116%, (-1.000*US0001M + 6.740%), 04/25/2037 | | | 594,048 | | 0.0 |
2,159,040 | | (5) | | Fannie Mae REMICS 2007-55 S, 5.136%, (-1.000*US0001M + 6.760%), 06/25/2037 | | | 292,426 | | 0.0 |
890,841 | | (5) | | Fannie Mae REMICS 2011-123 SD, 4.976%, (-1.000*US0001M + 6.600%), 08/25/2039 | | | 16,376 | | 0.0 |
11,221,653 | | (5) | | Fannie Mae REMICS 2012-111 UI, 3.000%, 10/25/2027 | | | 555,029 | | 0.0 |
890,784 | | (5) | | Fannie Mae REMICS 2012-121 DI, 2.500%, 11/25/2027 | | | 39,226 | | 0.0 |
9,250,032 | | (5) | | Fannie Mae REMICS 2012-128 KI, 3.000%, 11/25/2027 | | | 459,178 | | 0.0 |
7,942,890 | | (5) | | Fannie Mae REMICS 2012-133 NS, 4.526%, (-1.000*US0001M + 6.150%), 12/25/2042 | | | 1,125,902 | | 0.1 |
2,024,426 | | (5) | | Fannie Mae REMICS 2012-148 IB, 3.500%, 01/25/2028 | | | 120,462 | | 0.0 |
4,127,319 | | (5) | | Fannie Mae REMICS 2012-150 PS, 4.526%, (-1.000*US0001M + 6.150%), 01/25/2043 | | | 621,853 | | 0.0 |
9,261,038 | | (5) | | Fannie Mae REMICS 2013-1 LI, 2.500%, 02/25/2028 | | | 416,763 | | 0.0 |
1,688,155 | | (5) | | Fannie Mae REMICS 2013-137 PI, 5.000%, 10/25/2041 | | | 342,675 | | 0.0 |
8,631,467 | | (5) | | Fannie Mae REMICS 2013-19 JS, 4.576%, (-1.000*US0001M + 6.200%), 10/25/2041 | | | 687,596 | | 0.0 |
1,385,432 | | (5) | | Fannie Mae REMICS 2013-2 NI, 4.000%, 02/25/2043 | | | 207,550 | | 0.0 |
3,702,061 | | (5) | | Fannie Mae REMICS 2013-21 KI, 3.000%, 03/25/2028 | | | 183,675 | | 0.0 |
4,490,387 | | (5) | | Fannie Mae REMICS 2013-32 EI, 2.500%, 04/25/2033 | | | 370,604 | | 0.0 |
1,300,797 | | (5) | | Fannie Mae REMICS 2013-41 BI, 3.000%, 05/25/2028 | | | 71,754 | | 0.0 |
1,491,698 | | (5) | | Fannie Mae REMICS 2013-69 PI, 3.000%, 04/25/2033 | | | 116,621 | | 0.0 |
3,486,414 | | (5) | | Fannie Mae REMICS 2013-97 JS, 4.526%, (-1.000*US0001M + 6.150%), 04/25/2038 | | | 363,688 | | 0.0 |
7,024,515 | | (5) | | Fannie Mae REMICS 2016-19 SB, 4.476%, (-1.000*US0001M + 6.100%), 04/25/2046 | | | 854,656 | | 0.0 |
2,248,928 | | (5) | | Fannie Mae REMICS 2016-4 BI, 4.000%, 02/25/2046 | | | 413,768 | | 0.0 |
1,576,387 | | (5) | | Fannie Mae REMICS 2016-61 PI, 4.500%, 01/25/2046 | | | 280,698 | | 0.0 |
15,912,609 | | (5) | | Fannie Mae REMICS 2017-16 SG, 4.426%, (-1.000*US0001M + 6.050%), 03/25/2047 | | | 2,309,036 | | 0.1 |
10,004,929 | | (5) | | Fannie Mae REMICS 2019-15 AI, 4.000%, 04/25/2059 | | | 2,314,898 | | 0.1 |
16,360,000 | | (5) | | Fannie Mae REMICS 2019-17 SA, 4.476%, (-1.000*US0001M + 6.100%), 04/25/2049 | | | 1,819,883 | | 0.1 |
14,399,769 | | (5) | | Fannie Mae REMICS 2019-8 SB, 4.476%, (-1.000*US0001M + 6.100%), 03/25/2049 | | | 1,589,569 | | 0.1 |
20,744,826 | | (5) | | Fannie Mae REMICS 2020-49 SB, 4.476%, (-1.000*US0001M + 6.100%), 07/25/2050 | | | 3,992,869 | | 0.2 |
42,421,689 | | (5) | | Fannie Mae REMICS 2020-64 IO, 3.000%, 09/25/2050 | | | 8,397,696 | | 0.4 |
25,341,299 | | (5) | | Fannie Mae REMICS 2020-65 CI, 4.000%, 09/25/2050 | | | 4,658,889 | | 0.2 |
20,335,951 | | (5) | | Fannie Mae REMICS 2021-2 PI, 2.000%, 02/25/2051 | | | 2,192,423 | | 0.1 |
44,488,253 | | (5) | | Fannie Mae REMICS 2021-65 KI, 3.500%, 10/25/2051 | | | 8,070,173 | | 0.4 |
361,703 | | | | Fannie Mae Series 2006-11 FA, 1.924%, (US0001M + 0.300%), 03/25/2036 | | | 359,855 | | 0.0 |
65,617 | | | | First Horizon Alternative Mortgage Securities Trust 2006-FA8 1A7, 6.000%, 02/25/2037 | | | 32,250 | | 0.0 |
195,137 | | (2),(4) | | Flagstar Mortgage Trust 2017-2 A7, 3.500%, 10/25/2047 | | | 186,559 | | 0.0 |
630,036 | | (2),(4) | | Flagstar Mortgage Trust 2018-1 B3, 3.961%, 03/25/2048 | | | 578,018 | | 0.0 |
4,556,091 | | (2),(4) | | Flagstar Mortgage Trust 2018-2 B2, 4.006%, 04/25/2048 | | | 4,215,376 | | 0.2 |
904,367 | | (2),(4) | | Flagstar Mortgage Trust 2018-3INV A3, 4.000%, 05/25/2048 | | | 884,168 | | 0.0 |
3,659,457 | | (2),(4) | | Flagstar Mortgage Trust 2018-4 B3, 4.249%, 07/25/2048 | | | 3,355,383 | | 0.2 |
922,783 | | (2),(4) | | Flagstar Mortgage Trust 2018-5 B3, 4.479%, 09/25/2048 | | | 870,018 | | 0.0 |
270,013 | | (2),(4) | | Flagstar Mortgage Trust 2018-6RR 1A7, 4.000%, 10/25/2048 | | | 264,986 | | 0.0 |
3,484,612 | | (2),(4) | | Flagstar Mortgage Trust 2018-6RR B1, 4.920%, 10/25/2048 | | | 3,332,584 | | 0.2 |
1,421,286 | | (2),(4) | | Flagstar Mortgage Trust 2019-2 B1, 4.038%, 12/25/2049 | | | 1,300,558 | | 0.1 |
1,989,800 | | (2),(4) | | Flagstar Mortgage Trust 2019-2 B2, 4.038%, 12/25/2049 | | | 1,792,255 | | 0.1 |
3,354,305 | | (2),(4) | | Flagstar Mortgage Trust 2020-1NV B2A, 4.229%, 03/25/2050 | | | 2,991,027 | | 0.1 |
2,875,119 | | (2),(4) | | Flagstar Mortgage Trust 2020-1NV B3, 4.229%, 03/25/2050 | | | 2,549,027 | | 0.1 |
3,751,822 | | (2),(4) | | Flagstar Mortgage Trust 2021-2 B3, 2.787%, 04/25/2051 | | | 2,901,844 | | 0.1 |
1,023,134 | | (5) | | Freddie Mac 2009-70 PS, 5.126%, (-1.000*US0001M + 6.750%), 01/25/2037 | | | 154,864 | | 0.0 |
21,166 | | (5) | | Freddie Mac 2524 SH, 6.176%, (-1.000*US0001M + 7.500%), 11/15/2032 | | | 120 | | 0.0 |
261,789 | | (5) | | Freddie Mac 2525 SM, 6.676%, (-1.000*US0001M + 8.000%), 02/15/2032 | | | 42,718 | | 0.0 |
244,124 | | (5) | | Freddie Mac 2981 CS, 5.396%, (-1.000*US0001M + 6.720%), 05/15/2035 | | | 28,215 | | 0.0 |
236,955 | | (5) | | Freddie Mac 2989 HS, 5.826%, (-1.000*US0001M + 7.150%), 08/15/2034 | | | 58,570 | | 0.0 |
123,612 | | (5) | | Freddie Mac 3018 SM, 5.876%, (-1.000*US0001M + 7.200%), 08/15/2035 | | | 22,040 | | 0.0 |
1,584,092 | | (5) | | Freddie Mac 3222 SN, 5.276%, (-1.000*US0001M + 6.600%), 09/15/2036 | | | 184,356 | | 0.0 |
245,253 | | (4),(5) | | Freddie Mac 324 144, 6.000%, 06/15/2039 | | | 55,306 | | 0.0 |
492,815 | | (5) | | Freddie Mac 3523 SA, 4.676%, (-1.000*US0001M + 6.000%), 09/15/2036 | | | 57,293 | | 0.0 |
409,166 | | (5) | | Freddie Mac 3582 MS, 4.826%, (-1.000*US0001M + 6.150%), 10/15/2039 | | | 49,848 | | 0.0 |
610,171 | | (5) | | Freddie Mac 3688 BI, 5.000%, 07/15/2040 | | | 118,362 | | 0.0 |
2,380,803 | | (5) | | Freddie Mac 4186 IA, 3.000%, 03/15/2033 | | | 236,096 | | 0.0 |
87,819 | | (5) | | Freddie Mac 4333 AI, 5.500%, 02/15/2044 | | | 16,140 | | 0.0 |
5,010,164 | | (5) | | Freddie Mac 4813 IO, 5.500%, 08/15/2048 | | | 1,067,034 | | 0.1 |
1,359 | | (5) | | Freddie Mac REMIC Trust 2266 S, 7.226%, (-1.000*US0001M + 8.550%), 11/15/2030 | | | 21 | | 0.0 |
128,152 | | (5) | | Freddie Mac REMIC Trust 2374 S, 6.776%, (-1.000*US0001M + 8.100%), 06/15/2031 | | | 18,803 | | 0.0 |
64,003 | | (5) | | Freddie Mac REMIC Trust 2417 SY, 7.076%, (-1.000*US0001M + 8.400%), 12/15/2031 | | | 11,402 | | 0.0 |
127,515 | | (5) | | Freddie Mac REMIC Trust 2577 SA, 6.126%, (-1.000*US0001M + 7.450%), 02/15/2033 | | | 19,764 | | 0.0 |
67,617 | | (5) | | Freddie Mac REMIC Trust 2981 SU, 6.476%, (-1.000*US0001M + 7.800%), 05/15/2030 | | | 8,347 | | 0.0 |
134,950 | | | | Freddie Mac REMIC Trust 3031 BP, 8.000%, (-6.723*US0001M + 44.975%), 08/15/2035 | | | 136,541 | | 0.0 |
480,518 | | (5) | | Freddie Mac REMIC Trust 3049 PI, 5.326%, (-1.000*US0001M + 6.650%), 10/15/2035 | | | 65,031 | | 0.0 |
42,255 | | | | Freddie Mac REMIC Trust 3085 SK, 50.112%, (-12.000*US0001M + 66.000%), 12/15/2035 | | | 86,898 | | 0.0 |
59,641 | | (6) | | Freddie Mac REMIC Trust 3151 PO, 0.000%, 05/15/2036 | | | 50,334 | | 0.0 |
156,515 | | (5) | | Freddie Mac REMIC Trust 3624 TS, 3.476%, (-1.000*US0001M + 4.800%), 01/15/2040 | | | 10,977 | | 0.0 |
153,436 | | (5) | | Freddie Mac REMIC Trust 4261 ID, 6.500%, 06/15/2032 | | | 16,719 | | 0.0 |
470,426 | | (5) | | Freddie Mac REMIC Trust 4287 CI, 4.500%, 07/15/2041 | | | 56,645 | | 0.0 |
1,311,274 | | (5) | | Freddie Mac REMICS 2781 SB, 5.826%, (-1.000*US0001M + 7.150%), 04/15/2034 | | | 187,798 | | 0.0 |
279,212 | | | | Freddie Mac REMICS 2921 PF, 1.674%, (US0001M + 0.350%), 01/15/2035 | | | 277,975 | | 0.0 |
3,005,283 | | (5) | | Freddie Mac REMICS 3128 JI, 5.306%, (-1.000*US0001M + 6.630%), 03/15/2036 | | | 439,256 | | 0.0 |
1,458,721 | | (5) | | Freddie Mac REMICS 3298 S, 4.786%, (-1.000*US0001M + 6.110%), 04/15/2037 | | | 180,326 | | 0.0 |
2,673,667 | | (5) | | Freddie Mac REMICS 4097 IC, 2.500%, 08/15/2027 | | | 115,393 | | 0.0 |
943,504 | | (5) | | Freddie Mac REMICS 4116 IL, 4.500%, 05/15/2042 | | | 121,251 | | 0.0 |
9,289,579 | | (5) | | Freddie Mac REMICS 4120 TI, 2.500%, 10/15/2027 | | | 394,304 | | 0.0 |
1,302,957 | | (5) | | Freddie Mac REMICS 4136 QI, 3.000%, 11/15/2032 | | | 74,740 | | 0.0 |
700,073 | | (5) | | Freddie Mac REMICS 4143 IK, 4.000%, 10/15/2041 | | | 60,611 | | 0.0 |
13,311,171 | | (5) | | Freddie Mac REMICS 4146 SA, 4.826%, (-1.000*US0001M + 6.150%), 12/15/2042 | | | 1,890,639 | | 0.1 |
726,411 | | (5) | | Freddie Mac REMICS 4153 YI, 3.000%, 09/15/2042 | | | 26,637 | | 0.0 |
1,896,660 | | (5) | | Freddie Mac REMICS 4157 IH, 3.500%, 01/15/2043 | | | 300,409 | | 0.0 |
1,178,749 | | (5) | | Freddie Mac REMICS 4162 DI, 2.000%, 02/15/2028 | | | 43,591 | | 0.0 |
4,453,808 | | (5) | | Freddie Mac REMICS 4182 IL, 3.000%, 03/15/2028 | | | 235,959 | | 0.0 |
540,829 | | (5) | | Freddie Mac REMICS 4266 LI, 3.500%, 06/15/2028 | | | 13,419 | | 0.0 |
27,298,926 | | (5) | | Freddie Mac REMICS 4273 PS, 4.776%, (-1.000*US0001M + 6.100%), 11/15/2043 | | | 3,229,034 | | 0.2 |
1,842,663 | | (5) | | Freddie Mac REMICS 4290 EI, 5.000%, 12/15/2043 | | | 345,010 | | 0.0 |
1,046,048 | | | | Freddie Mac REMICS 4385 LS, 6.856%, (-2.333*US0001M + 9.333%), 07/15/2037 | | | 854,000 | | 0.0 |
2,265,039 | | (5) | | Freddie Mac REMICS 4494 LI, 5.000%, 12/15/2043 | | | 259,729 | | 0.0 |
7,227,070 | | (5) | | Freddie Mac REMICS 4618 SA, 4.676%, (-1.000*US0001M + 6.000%), 09/15/2046 | | | 1,081,004 | | 0.1 |
1,717,907 | | | | Freddie Mac REMICS 4625 BI, 3.500%, 06/15/2046 | | | 292,600 | | 0.0 |
2,026,648 | | (5) | | Freddie Mac REMICS 4708 KI, 4.500%, 11/15/2046 | | | 345,194 | | 0.0 |
23,502,424 | | (5) | | Freddie Mac REMICS 4903 NS, 4.476%, (-1.000*US0001M + 6.100%), 08/25/2049 | | | 3,208,899 | | 0.2 |
12,120,263 | | (5) | | Freddie Mac REMICS 4909 SJ, 4.426%, (-1.000*US0001M + 6.050%), 09/25/2049 | | | 1,986,853 | | 0.1 |
4,774,298 | | (5) | | Freddie Mac REMICS 4910 SD, 4.726%, (-1.000*US0001M + 6.050%), 06/15/2049 | | | 771,076 | | 0.0 |
15,760,152 | | (5) | | Freddie Mac REMICS 4910 SH, 4.426%, (-1.000*US0001M + 6.050%), 09/25/2049 | | | 2,602,545 | | 0.1 |
20,477,308 | | (5) | | Freddie Mac REMICS 4924 SY, 4.426%, (-1.000*US0001M + 6.050%), 10/25/2049 | | | 3,528,277 | | 0.2 |
15,837,520 | | (5) | | Freddie Mac REMICS 4967 IQ, 4.000%, 02/25/2050 | | | 3,236,609 | | 0.2 |
41,144,369 | | (5) | | Freddie Mac REMICS 4974 I, 4.000%, 04/25/2050 | | | 8,315,265 | | 0.4 |
36,155,331 | | (5) | | Freddie Mac REMICS 5010 MI, 3.000%, 09/25/2050 | | | 5,724,264 | | 0.3 |
29,436,916 | | (5) | | Freddie Mac REMICS 5049 UI, 3.000%, 12/25/2050 | | | 5,637,090 | | 0.3 |
14,789,276 | | (5) | | Freddie Mac REMICS 5074 GI, 2.000%, 02/25/2051 | | | 1,649,992 | | 0.1 |
24,957,120 | | (5) | | Freddie Mac REMICS 5081 CI, 2.000%, 03/25/2051 | | | 2,859,846 | | 0.1 |
11,628,891 | | (5) | | Freddie Mac REMICS 5142 LI, 2.500%, 09/25/2051 | | | 1,938,379 | | 0.1 |
387,662 | | | | Freddie Mac REMICS Trust 3740 FB, 1.824%, (US0001M + 0.500%), 10/15/2040 | | | 388,300 | | 0.0 |
1,013,850 | | (2) | | Freddie Mac STACR Remic Trust 2020-DNA2 M2, 3.474%, (US0001M + 1.850%), 02/25/2050 | | | 1,004,575 | | 0.1 |
1,400,612 | | (2) | | Freddie Mac STACR REMIC Trust 2020-HQA1 M2, 3.524%, (US0001M + 1.900%), 01/25/2050 | | | 1,376,677 | | 0.1 |
5,100,000 | | (2) | | Freddie Mac STACR REMIC Trust 2021-DNA6 B1, 4.326%, (SOFR30A + 3.400%), 10/25/2041 | | | 4,385,899 | | 0.2 |
2,500,000 | | (2) | | Freddie Mac STACR REMIC Trust 2021-HQA3 M2, 3.026%, (SOFR30A + 2.100%), 09/25/2041 | | | 2,193,012 | | 0.1 |
6,100,000 | | (2) | | Freddie Mac STACR REMIC Trust 2021-HQA4 B1, 4.676%, (SOFR30A + 3.750%), 12/25/2041 | | | 5,070,246 | | 0.2 |
2,800,000 | | (2) | | Freddie Mac STACR REMIC Trust 2022-DNA1 B1, 4.326%, (SOFR30A + 3.400%), 01/25/2042 | | | 2,372,581 | | 0.1 |
2,500,000 | | (2) | | Freddie Mac STACR REMIC Trust 2022-DNA1 M1B, 2.776%, (SOFR30A + 1.850%), 01/25/2042 | | | 2,249,501 | | 0.1 |
2,000,000 | | (2) | | Freddie Mac STACR REMIC Trust 2022-DNA1 M2, 3.426%, (SOFR30A + 2.500%), 01/25/2042 | | | 1,717,736 | | 0.1 |
1,800,000 | | (2) | | Freddie Mac STACR REMIC Trust 2022-DNA3 M2, 5.276%, (SOFR30A + 4.350%), 04/25/2042 | | | 1,665,415 | | 0.1 |
2,500,000 | | (2) | | Freddie Mac STACR REMIC Trust 2022-DNA4 M2, 6.176%, (SOFR30A + 5.250%), 05/25/2042 | | | 2,377,718 | | 0.1 |
1,200,000 | | (2) | | Freddie Mac STACR REMIC Trust 2022-HQA1 M2, 6.176%, (SOFR30A + 5.250%), 03/25/2042 | | | 1,122,744 | | 0.1 |
1,218,432 | | (5) | | Freddie Mac Strips 287 IO, 3.000%, 10/15/2027 | | | 60,146 | | 0.0 |
851,649 | | (5) | | Freddie Mac Strips Series 224 IO, 6.000%, 03/01/2033 | | | 183,852 | | 0.0 |
400,172 | | (5) | | Freddie Mac Strips Series 237 S23, 5.776%, (-1.000*US0001M + 7.100%), 05/15/2036 | | | 61,786 | | 0.0 |
469,751 | | (5) | | Freddie Mac Strips Series 260 33, 4.000%, 05/15/2039 | | | 86,472 | | 0.0 |
278,950 | | | | Freddie Mac Structured Agency Credit Risk Debt Notes 2014-DN3 M3, 5.624%, (US0001M + 4.000%), 08/25/2024 | | | 281,209 | | 0.0 |
1,840,000 | | | | Freddie Mac Structured Agency Credit Risk Debt Notes 2018-DNA1 B1, 4.774%, (US0001M + 3.150%), 07/25/2030 | | | 1,734,896 | | 0.1 |
2,474,694 | | | | Freddie Mac Structured Agency Credit Risk Debt Notes 2018-HQA1 M2, 3.924%, (US0001M + 2.300%), 09/25/2030 | | | 2,457,277 | | 0.1 |
3,000,000 | | (2) | | Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA2 M2, 3.226%, (SOFR30A + 2.300%), 08/25/2033 | | | 2,841,671 | | 0.1 |
2,300,000 | | (2) | | Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA7 B1, 4.576%, (SOFR30A + 3.650%), 11/25/2041 | | | 1,978,056 | | 0.1 |
2,500,000 | | (2) | | Freddie Mac Structured Agency Credit Risk Debt Notes 2022-DNA5 M2, 7.529%, (SOFR30A + 6.750%), 06/25/2042 | | | 2,519,037 | | 0.1 |
1,594,992 | | (2),(4) | | Galton Funding Mortgage Trust 2018-2 B2, 4.474%, 10/25/2058 | | | 1,499,956 | | 0.1 |
2,386,240 | | (2),(4) | | Galton Funding Mortgage Trust 2019-1 B1, 4.250%, 02/25/2059 | | | 2,242,786 | | 0.1 |
1,913,358 | | (2),(4) | | Galton Funding Mortgage Trust 2019-1 B2, 4.500%, 02/25/2059 | | | 1,801,154 | | 0.1 |
3,664,620 | | (5) | | Ginnie Mae 2007-59 SC, 4.905%, (-1.000*US0001M + 6.500%), 07/20/2037 | | | 499,449 | | 0.0 |
123,516 | | (5) | | Ginnie Mae 2011-101 EI, 6.000%, (-19.355*US0001M + 109.161%), 10/16/2039 | | | 29,905 | | 0.0 |
20,825,682 | | (5) | | Ginnie Mae 2013-130 SB, 3.988%, (-1.000*US0001M + 5.050%), 09/16/2043 | | | 1,503,972 | | 0.1 |
8,404,409 | | (5) | | Ginnie Mae 2014-58 SM, 4.591%, (-1.000*US0001M + 6.100%), 04/16/2044 | | | 1,075,994 | | 0.1 |
45,230,025 | | (5) | | Ginnie Mae 2021-194 IK, 3.000%, 11/20/2051 | | | 7,928,977 | | 0.4 |
325,484 | | (5) | | Ginnie Mae Series 2008-40 SA, 4.891%, (-1.000*US0001M + 6.400%), 05/16/2038 | | | 35,256 | | 0.0 |
553,940 | | (5) | | Ginnie Mae Series 2009-116 SJ, 4.971%, (-1.000*US0001M + 6.480%), 12/16/2039 | | | 73,734 | | 0.0 |
718,970 | | (5) | | Ginnie Mae Series 2010-143 JI, 4.000%, 08/16/2039 | | | 44,531 | | 0.0 |
1,153,117 | | (5) | �� | Ginnie Mae Series 2010-4 IP, 5.000%, 01/16/2039 | | | 95,868 | | 0.0 |
521,331 | | (5) | | Ginnie Mae Series 2010-4 SL, 4.891%, (-1.000*US0001M + 6.400%), 01/16/2040 | | | 67,840 | | 0.0 |
44,331 | | (5) | | Ginnie Mae Series 2010-98 QS, 5.005%, (-1.000*US0001M + 6.600%), 01/20/2040 | | | 1,216 | | 0.0 |
1,491,309 | | (5) | | Ginnie Mae Series 2011-101 BI, 0.650%, (-1.000*US0001M + 6.650%), 11/20/2037 | | | 34,948 | | 0.0 |
1,824,501 | | (5) | | Ginnie Mae Series 2011-124 KI, 4.000%, 08/20/2039 | | | 114,689 | | 0.0 |
4,265,021 | | (5) | | Ginnie Mae Series 2011-25 AS, 4.465%, (-1.000*US0001M + 6.060%), 02/20/2041 | | | 507,607 | | 0.0 |
1,949,635 | | (5) | | Ginnie Mae Series 2012-148 IP, 3.500%, 04/20/2041 | | | 99,211 | | 0.0 |
17,261 | | (5) | | Ginnie Mae Series 2012-149 BI, 3.500%, 10/20/2041 | | | 1,686 | | 0.0 |
2,124,774 | | (5) | | Ginnie Mae Series 2012-39 PI, 4.000%, 03/16/2042 | | | 229,659 | | 0.0 |
1,743,034 | | (5) | | Ginnie Mae Series 2013-103 DS, 4.555%, (-1.000*US0001M + 6.150%), 07/20/2043 | | | 224,968 | | 0.0 |
75,623 | | (5) | | Ginnie Mae Series 2013-134 DS, 4.505%, (-1.000*US0001M + 6.100%), 09/20/2043 | | | 9,413 | | 0.0 |
199,155 | | (5) | | Ginnie Mae Series 2013-44 LI, 4.500%, 01/16/2043 | | | 25,264 | | 0.0 |
867,721 | | (5) | | Ginnie Mae Series 2013-81 IO, 4.500%, 01/16/2040 | | | 73,576 | | 0.0 |
2,181,556 | | (5) | | Ginnie Mae Series 2014-84 PI, 4.500%, 04/20/2043 | | | 232,940 | | 0.0 |
2,056,151 | | (5) | | Ginnie Mae Series 2015-132 BI, 4.000%, 11/20/2044 | | | 248,830 | | 0.0 |
17,131,072 | | (5) | | Ginnie Mae Series 2015-144 SA, 4.605%, (-1.000*US0001M + 6.200%), 10/20/2045 | | | 2,503,184 | | 0.1 |
3,157,995 | | (5) | | Ginnie Mae Series 2015-69 IL, 0.200%, (-1.000*US0001M + 6.700%), 07/20/2034 | | | 24,258 | | 0.0 |
204,690 | | (5) | | Ginnie Mae Series 2015-98 IU, 4.000%, 08/20/2044 | | | 26,963 | | 0.0 |
6,724,455 | | (5) | | Ginnie Mae Series 2016-66 ES, 4.455%, (-1.000*US0001M + 6.050%), 05/20/2046 | | | 889,751 | | 0.0 |
460,330 | | (5) | | Ginnie Mae Series 2016-8 PI, 4.000%, 10/20/2044 | | | 53,476 | | 0.0 |
6,322,056 | | (5) | | Ginnie Mae Series 2018-153 SQ, 4.605%, (-1.000*US0001M + 6.200%), 11/20/2048 | | | 801,815 | | 0.0 |
15,847,199 | | (5) | | Ginnie Mae Series 2018-93 SJ, 4.605%, (-1.000*US0001M + 6.200%), 07/20/2048 | | | 1,992,491 | | 0.1 |
182,600 | | (5) | | Ginnie Mae Series 2019-111 TI, 5.000%, 09/20/2049 | | | 26,805 | | 0.0 |
115,993 | | (5) | | Ginnie Mae Series 2019-86 GI, 6.500%, 07/20/2049 | | | 21,544 | | 0.0 |
428,511 | | (5) | | Ginnie Mae Series 2019-86 HI, 5.500%, 07/20/2049 | | | 89,289 | | 0.0 |
12,848,843 | | (5) | | Ginnie Mae Series 2019-89 SC, 4.505%, (-1.000*US0001M + 6.100%), 07/20/2049 | | | 1,677,415 | | 0.1 |
287,848 | | (2),(4) | | GS Mortage-Backed Securities Trust 2020-PJ1 A1, 3.500%, 05/25/2050 | | | 273,273 | | 0.0 |
457,170 | | (2),(4) | | GS Mortage-Backed Securities Trust 2020-PJ1 A4, 3.500%, 05/25/2050 | | | 433,307 | | 0.0 |
1,151,449 | | (2),(4) | | GS Mortage-Backed Securities Trust 2020-PJ1 A8, 3.500%, 05/25/2050 | | | 1,093,145 | | 0.1 |
2,346,052 | | (2),(4) | | GS Mortage-Backed Securities Trust 2020-PJ1 B2, 3.642%, 05/25/2050 | | | 2,087,294 | | 0.1 |
3,666,031 | | (2),(4) | | GS Mortage-Backed Securities Trust 2020-PJ1 B3, 3.642%, 05/25/2050 | | | 3,229,082 | | 0.2 |
1,729,317 | | (2),(4) | | GS Mortgage-Backed Securities Corp. Trust 2019-PJ1 B3, 4.181%, 08/25/2049 | | | 1,659,227 | | 0.1 |
100,800 | | (2),(4) | | GS Mortgage-Backed Securities Corp. Trust 2019-PJ2 A1, 4.000%, 11/25/2049 | | | 99,330 | | 0.0 |
3,753,074 | | (2),(4) | | GS Mortgage-Backed Securities Corp. Trust 2019-PJ2 B2, 4.341%, 11/25/2049 | | | 3,531,739 | | 0.2 |
3,864,057 | | (2),(4) | | GS Mortgage-Backed Securities Corp. Trust 2019-PJ2 B3, 4.341%, 11/25/2049 | | | 3,564,984 | | 0.2 |
460,829 | | (2),(4) | | GS Mortgage-Backed Securities Corp. Trust 2019-PJ3 B1, 3.986%, 03/25/2050 | | | 437,426 | | 0.0 |
469,677 | | (2),(4) | | GS Mortgage-Backed Securities Corp. Trust 2019-PJ3 B2, 3.986%, 03/25/2050 | | | 423,417 | | 0.0 |
1,782,222 | | (2),(4) | | GS Mortgage-Backed Securities Corp. Trust 2020-PJ3 B4, 3.426%, 10/25/2050 | | | 1,458,041 | | 0.1 |
1,699,124 | | (2),(4) | | GS Mortgage-Backed Securities Corp. Trust 2021-PJ3 B3, 2.651%, 08/25/2051 | | | 1,358,721 | | 0.1 |
3,883,679 | | (2),(4) | | GS Mortgage-Backed Securities Corp. Trust 2021-PJ4 B3, 2.618%, 09/25/2051 | | | 2,787,624 | | 0.1 |
5,029,898 | | (2),(4) | | GS Mortgage-Backed Securities Corp. Trust 2021-PJ5 B3, 2.588%, 10/25/2051 | | | 4,042,057 | | 0.2 |
988,721 | | (2),(4) | | GS Mortgage-Backed Securities Trust 2021-GR3 B3, 3.393%, 04/25/2052 | | | 802,849 | | 0.0 |
988,721 | | (2),(4) | | GS Mortgage-Backed Securities Trust 2021-GR3 B4, 3.393%, 04/25/2052 | | | 764,388 | | 0.0 |
2,655,969 | | (2),(4) | | GS Mortgage-Backed Securities Trust 2021-PJ9 A4, 2.500%, 02/26/2052 | | | 2,230,395 | | 0.1 |
2,681,864 | | (2),(4) | | GS Mortgage-Backed Securities Trust 2022-NQM1 A4, 4.000%, 05/25/2062 | | | 2,561,498 | | 0.1 |
332,401 | | | | HarborView Mortgage Loan Trust 2006-14 2A1A, 1.912%, (US0001M + 0.150%), 01/25/2047 | | | 295,465 | | 0.0 |
366,754 | | | | HarborView Mortgage Loan Trust 2007-5 A1A, 1.802%, (US0001M + 0.190%), 09/19/2037 | | | 336,731 | | 0.0 |
4,769,000 | | (2) | | Home RE 2019-1 M2 Ltd., 4.874%, (US0001M + 3.250%), 05/25/2029 | | | 4,737,949 | | 0.2 |
1,367 | | | | HomeBanc Mortgage Trust 2004-1 2A, 2.484%, (US0001M + 0.860%), 08/25/2029 | | | 1,319 | | 0.0 |
2,600,000 | | (2),(4) | | Imperial Fund Mortgage Trust 2021-NQM4 M1, 3.446%, 01/25/2057 | | | 2,125,812 | | 0.1 |
2,466,145 | | (2),(7) | | Imperial Fund Mortgage Trust 2022-NQM3 A1, 4.380% (Step Rate @ 5.380% on 04/25/2026), 05/25/2067 | | | 2,389,509 | | 0.1 |
58,005 | | | | IndyMac INDX Mortgage Loan Trust 2006-AR2 1A1B, 2.044%, (US0001M + 0.420%), 04/25/2046 | | | 51,488 | | 0.0 |
1,713,904 | | (4) | | JP Morgan Mortgage Trust 2005-A4 B1, 3.253%, 07/25/2035 | | | 1,605,141 | | 0.1 |
72,192 | | | | JP Morgan Mortgage Trust 2005-S3 1A10, 6.000%, 01/25/2036 | | | 41,628 | | 0.0 |
157,282 | | | | JP Morgan Mortgage Trust 2006-S2 1A18, 6.000%, 07/25/2036 | | | 100,472 | | 0.0 |
396,011 | | | | JP Morgan Mortgage Trust 2006-S3 1A30, 6.500%, 08/25/2036 | | | 187,486 | | 0.0 |
784,352 | | (2),(4) | | JP Morgan Mortgage Trust 2014-5 B3, 2.839%, 10/25/2029 | | | 681,246 | | 0.0 |
489,111 | | (2),(4) | | JP Morgan Mortgage Trust 2016-1 B3, 3.797%, 05/25/2046 | | | 464,094 | | 0.0 |
2,095,000 | | (2),(4) | | JP Morgan Mortgage Trust 2016-1 B4, 3.797%, 05/25/2046 | | | 1,785,911 | | 0.1 |
404,084 | | (2),(4) | | JP Morgan Mortgage Trust 2016-4 A13, 3.500%, 10/25/2046 | | | 383,519 | | 0.0 |
857,698 | | (2),(4) | | JP Morgan Mortgage Trust 2017-1 B4, 3.458%, 01/25/2047 | | | 782,330 | | 0.0 |
1,400,578 | | (2),(4) | | JP Morgan Mortgage Trust 2017-3 B1, 3.765%, 08/25/2047 | | | 1,316,256 | | 0.1 |
1,037,465 | | (2),(4) | | JP Morgan Mortgage Trust 2017-3 B2, 3.765%, 08/25/2047 | | | 972,537 | | 0.1 |
1,890,966 | | (2),(4) | | JP Morgan Mortgage Trust 2017-5 B1, 3.053%, 10/26/2048 | | | 1,850,068 | | 0.1 |
542,257 | | (2),(4) | | JP Morgan Mortgage Trust 2017-6 B3, 3.777%, 12/25/2048 | | | 501,337 | | 0.0 |
1,524,644 | | (2),(4) | | JP Morgan Mortgage Trust 2017-6 B4, 3.777%, 12/25/2048 | | | 1,396,031 | | 0.1 |
1,040,589 | | (2),(4) | | JP Morgan Mortgage Trust 2017-6 B5, 3.777%, 12/25/2048 | | | 856,034 | | 0.0 |
2,220,383 | | (2),(4) | | JP Morgan Mortgage Trust 2018-1 B2, 3.633%, 06/25/2048 | | | 2,056,620 | | 0.1 |
3,621,585 | | (2),(4) | | JP Morgan Mortgage Trust 2018-3 B1, 3.712%, 09/25/2048 | | | 3,356,359 | | 0.2 |
2,263,491 | | (2),(4) | | JP Morgan Mortgage Trust 2018-3 B3, 3.712%, 09/25/2048 | | | 1,983,632 | | 0.1 |
454,445 | | (2),(4) | | JP Morgan Mortgage Trust 2018-4 B1, 3.716%, 10/25/2048 | | | 422,433 | | 0.0 |
454,445 | | (2),(4) | | JP Morgan Mortgage Trust 2018-4 B2, 3.716%, 10/25/2048 | | | 419,621 | | 0.0 |
1,839,740 | | (2),(4) | | JP Morgan Mortgage Trust 2018-5 A13, 3.500%, 10/25/2048 | | | 1,708,360 | | 0.1 |
121,686 | | (2),(4) | | JP Morgan Mortgage Trust 2018-6 1A10, 3.500%, 12/25/2048 | | | 115,896 | | 0.0 |
208,793 | | (2),(4) | | JP Morgan Mortgage Trust 2018-8 A3, 4.000%, 01/25/2049 | | | 204,409 | | 0.0 |
7,913,434 | | (2),(4) | | JP Morgan Mortgage Trust 2018-8 B1, 4.091%, 01/25/2049 | | | 7,438,219 | | 0.3 |
3,687,957 | | (2),(4) | | JP Morgan Mortgage Trust 2018-8 B2, 4.091%, 01/25/2049 | | | 3,457,563 | | 0.2 |
934,441 | | (2),(4) | | JP Morgan Mortgage Trust 2018-9 B2, 4.248%, 02/25/2049 | | | 865,669 | | 0.0 |
1,846,847 | | (2),(4) | | JP Morgan Mortgage Trust 2018-9 B3, 4.248%, 02/25/2049 | | | 1,675,369 | | 0.1 |
265,867 | | (2),(4) | | JP Morgan Mortgage Trust 2019-1 A3, 4.000%, 05/25/2049 | | | 261,381 | | 0.0 |
112,050 | | (2),(4) | | JP Morgan Mortgage Trust 2019-2 A3, 4.000%, 08/25/2049 | | | 111,086 | | 0.0 |
1,064,964 | | (2),(4) | | JP Morgan Mortgage Trust 2019-2 B1, 4.527%, 08/25/2049 | | | 1,073,481 | | 0.1 |
2,580,308 | | (2),(4) | | JP Morgan Mortgage Trust 2019-2 B2, 4.527%, 08/25/2049 | | | 2,471,933 | | 0.1 |
590,869 | | (2),(4) | | JP Morgan Mortgage Trust 2019-5 A3, 4.000%, 11/25/2049 | | | 580,108 | | 0.0 |
2,829,378 | | (2),(4) | | JP Morgan Mortgage Trust 2019-5 B1, 4.461%, 11/25/2049 | | | 2,799,361 | | 0.1 |
4,721,135 | | (2),(4) | | JP Morgan Mortgage Trust 2019-5 B2, 4.461%, 11/25/2049 | | | 4,580,902 | | 0.2 |
133,410 | | (2),(4) | | JP Morgan Mortgage Trust 2019-6 A3, 3.500%, 12/25/2049 | | | 128,629 | | 0.0 |
2,837,086 | | (2),(4) | | JP Morgan Mortgage Trust 2019-6 B1, 4.238%, 12/25/2049 | | | 2,632,728 | | 0.1 |
6,147,020 | | (2),(4) | | JP Morgan Mortgage Trust 2019-6 B2, 4.238%, 12/25/2049 | | | 5,902,315 | | 0.3 |
937,976 | | (2),(4) | | JP Morgan Mortgage Trust 2019-7 B3A, 3.288%, 02/25/2050 | | | 844,760 | | 0.0 |
489,275 | | (2),(4) | | JP Morgan Mortgage Trust 2019-8 A15, 3.500%, 03/25/2050 | | | 466,217 | | 0.0 |
949,233 | | (2),(4) | | JP Morgan Mortgage Trust 2019-8 B3A, 3.425%, 03/25/2050 | | | 865,968 | | 0.0 |
3,775,628 | | (2),(4) | | JP Morgan Mortgage Trust 2019-INV1 B2, 4.998%, 10/25/2049 | | | 3,552,085 | | 0.2 |
310,985 | | (2),(4) | | JP Morgan Mortgage Trust 2019-INV2 A15, 3.500%, 02/25/2050 | | | 299,981 | | 0.0 |
4,013,822 | | (2),(4) | | JP Morgan Mortgage Trust 2019-INV3 B3, 4.392%, 05/25/2050 | | | 3,658,516 | | 0.2 |
1,676,816 | | (2),(4) | | JP Morgan Mortgage Trust 2019-LTV1 B2, 4.573%, 06/25/2049 | | | 1,604,484 | | 0.1 |
129,742 | | (2),(4) | | JP Morgan Mortgage Trust 2019-LTV2 A18, 4.000%, 12/25/2049 | | | 128,892 | | 0.0 |
1,868,252 | | (2),(4) | | JP Morgan Mortgage Trust 2019-LTV2 B2, 4.708%, 12/25/2049 | | | 1,789,901 | | 0.1 |
1,893,818 | | (2),(4) | | JP Morgan Mortgage Trust 2019-LTV2 B3, 4.708%, 12/25/2049 | | | 1,813,565 | | 0.1 |
2,673,361 | | (2),(4) | | JP Morgan Mortgage Trust 2019-LTV3 B2, 4.418%, 03/25/2050 | | | 2,503,071 | | 0.1 |
6,222,684 | | (2),(4) | | JP Morgan Mortgage Trust 2019-LTV3 B3, 4.418%, 03/25/2050 | | | 5,815,777 | | 0.3 |
329,672 | | (2),(4) | | JP Morgan Mortgage Trust 2020-2 A15, 3.500%, 07/25/2050 | | | 311,684 | | 0.0 |
2,976,197 | | (2),(4) | | JP Morgan Mortgage Trust 2020-3 B2, 3.845%, 08/25/2050 | | | 2,636,861 | | 0.1 |
4,792,661 | | (2),(4) | | JP Morgan Mortgage Trust 2020-4 B1, 3.662%, 11/25/2050 | | | 4,233,733 | | 0.2 |
1,725,358 | | (2),(4) | | JP Morgan Mortgage Trust 2020-4 B2, 3.662%, 11/25/2050 | | | 1,519,448 | | 0.1 |
225,588 | | (2),(4) | | JP Morgan Mortgage Trust 2020-LTV1 A15, 3.500%, 06/25/2050 | | | 222,734 | | 0.0 |
1,165,391 | | (2),(4) | | JP Morgan Mortgage Trust 2020-LTV1 A5, 3.500%, 06/25/2050 | | | 1,148,463 | | 0.1 |
2,470,166 | | (2),(4) | | JP Morgan Mortgage Trust 2021-14 B4, 3.170%, 05/25/2052 | | | 1,921,417 | | 0.1 |
2,516,918 | | (2),(4) | | JP Morgan Mortgage Trust 2022-2 B3, 3.136%, 08/25/2052 | | | 1,967,765 | | 0.1 |
982,164 | | (2),(4) | | JP Morgan Mortgage Trust 2022-5 A9, 2.800%, 09/25/2052 | | | 844,858 | | 0.0 |
652,903 | | (2),(4) | | JP Morgan Trust 2015-3 B3, 3.594%, 05/25/2045 | | | 622,747 | | 0.0 |
1,327,529 | | (2),(4) | | JP Morgan Trust 2015-3 B4, 3.594%, 05/25/2045 | | | 1,125,430 | | 0.1 |
1,427,972,419 | | (2),(5) | | L Street Securities 2017-PM1 XIO, 0.010%, 10/25/2048 | | | 1,937,116 | | 0.1 |
74,310 | | | | Lehman XS Trust Series 2005-5N 1A2, 1.984%, (US0001M + 0.360%), 11/25/2035 | | | 70,946 | | 0.0 |
1,856,363 | | (2),(4) | | Mello Mortgage Capital Acceptance 2021-MTG3 B3, 2.900%, 07/01/2051 | | | 1,480,604 | | 0.1 |
2,849,283 | | (2),(4) | | Mello Mortgage Capital Acceptance 2022-INV1 B3, 3.331%, 03/25/2052 | | | 2,287,612 | | 0.1 |
2,000,000 | | (2),(4) | | MFA 2021-INV2 M1 Trust, 3.199%, 11/25/2056 | | | 1,630,999 | | 0.1 |
655,000 | | | | Morgan Stanley Mortgage Loan Trust 2005-5AR 1B1, 3.424%, (US0001M + 1.800%), 09/25/2035 | | | 677,197 | | 0.0 |
1,036,228 | | | | Morgan Stanley Mortgage Loan Trust 2006-9AR A2, 1.924%, (US0001M + 0.150%), 08/25/2036 | | | 341,515 | | 0.0 |
6,000,000 | | (2) | | Mortgage Insurance-Linked Notes 2021-3 M1B, 3.826%, (SOFR30A + 2.900%), 02/25/2034 | | | 5,728,535 | | 0.3 |
365,234 | | (2),(4) | | New Residential Mortgage Loan Trust 2017-3A B2, 4.750%, 04/25/2057 | | | 354,356 | | 0.0 |
1,969,313 | | (2),(4),(7) | | New Residential Mortgage Loan Trust 2022-NQM3 A1, 3.900% (Step Rate @ 4.900% on 05/25/2026), 04/25/2062 | | | 1,925,063 | | 0.1 |
1,300,000 | | (2) | | Oaktown Re VII Ltd. 2021-2 M1C, 4.276%, (SOFR30A + 3.350%), 04/25/2034 | | | 1,205,300 | | 0.1 |
264,586 | | (2),(4) | | OBX 2019-EXP3 1A9 Trust, 3.500%, 10/25/2059 | | | 254,753 | | 0.0 |
435,589 | | (2),(4) | | OBX 2019-INV2 A25 Trust, 4.000%, 05/27/2049 | | | 425,844 | | 0.0 |
299,933 | | (2),(4) | | OBX 2020-INV1 A21 Trust, 3.500%, 12/25/2049 | | | 287,115 | | 0.0 |
1,976,924 | | (2),(4) | | OBX 2022-J1 A14 Trust, 2.500%, 02/25/2052 | | | 1,646,485 | | 0.1 |
2,500,000 | | (2),(7) | | OBX 2022-NQM4 A1B Trust, 3.900% (Step Rate @ 4.900% on 05/25/2026), 04/25/2062 | | | 2,398,607 | | 0.1 |
2,241,949 | | (2),(4) | | Oceanview Mortgage Trust 2021-1 B3, 2.728%, 05/25/2051 | | | 1,780,357 | | 0.1 |
3,085,691 | | (2),(4) | | Onslow Bay Mortgage Loan Trust 2021-NQM4 A1, 1.957%, 10/25/2061 | | | 2,700,838 | | 0.1 |
19,873 | | | | Prime Mortgage Trust 2007-1 A4, 5.500%, 03/25/2037 | | | 17,376 | | 0.0 |
178,597 | | (2),(4) | | PSMC 2019-3 A12 Trust, 3.500%, 11/25/2049 | | | 176,787 | | 0.0 |
6,856,000 | | (2) | | Radnor RE 2021-1 M1C Ltd., 3.626%, (SOFR30A + 2.700%), 12/27/2033 | | | 6,429,257 | | 0.3 |
3,629,999 | | (2),(4) | | RCKT Mortgage Trust 2019-1 B1A, 3.830%, 09/25/2049 | | | 3,336,829 | | 0.2 |
2,356,861 | | (2),(4) | | RCKT Mortgage Trust 2019-1 B2A, 3.830%, 09/25/2049 | | | 2,159,264 | | 0.1 |
1,588,450 | | (2),(4) | | RCKT Mortgage Trust 2020-1 B2A, 3.478%, 02/25/2050 | | | 1,413,974 | | 0.1 |
2,671,818 | | (2),(4) | | RCKT Mortgage Trust 2021-4 A21, 2.500%, 09/25/2051 | | | 2,252,061 | | 0.1 |
5,527,373 | | (2),(4) | | RCKT Mortgage Trust 2021-6 B3, 2.796%, 12/25/2051 | | | 4,320,707 | | 0.2 |
993,615 | | (2),(4) | | RCKT Mortgage Trust 2022-3 A21, 3.000%, 05/25/2052 | | | 865,484 | | 0.0 |
955,708 | | (2) | | Sequoia Mortgage Trust 2013-9 B2, 3.500%, 07/25/2043 | | | 924,127 | | 0.0 |
606,316 | | (2),(4) | | Sequoia Mortgage Trust 2015-1 B1, 3.917%, 01/25/2045 | | | 589,570 | | 0.0 |
1,452,220 | | (2),(4) | | Sequoia Mortgage Trust 2017-1 B2, 3.611%, 02/25/2047 | | | 1,356,811 | | 0.1 |
1,135,272 | | (2),(4) | | Sequoia Mortgage Trust 2018-6 B1, 4.171%, 07/25/2048 | | | 1,064,336 | | 0.1 |
546,318 | | (2),(4) | | Sequoia Mortgage Trust 2018-CH1 B2B, 4.461%, 03/25/2048 | | | 499,994 | | 0.0 |
1,665,023 | | (2),(4) | | Sequoia Mortgage Trust 2019-2 B2, 4.255%, 06/25/2049 | | | 1,541,948 | | 0.1 |
1,574,427 | | (2),(4) | | Sequoia Mortgage Trust 2019-2 B3, 4.255%, 06/25/2049 | | | 1,432,931 | | 0.1 |
2,041,381 | | (2),(4) | | Sequoia Mortgage Trust 2019-5 B2, 3.726%, 12/25/2049 | | | 1,835,142 | | 0.1 |
2,042,319 | | (2),(4) | | Sequoia Mortgage Trust 2019-5 B3, 3.726%, 12/25/2049 | | | 1,829,762 | | 0.1 |
931,318 | | (2),(4) | | Sequoia Mortgage Trust 2019-CH1 B2B, 4.861%, 03/25/2049 | | | 939,278 | | 0.0 |
161,711 | | (2),(4) | | Sequoia Mortgage Trust 2019-CH2 A1, 4.500%, 08/25/2049 | | | 160,484 | | 0.0 |
237,044 | | (2),(4) | | Sequoia Mortgage Trust 2019-CH3 A13, 4.000%, 09/25/2049 | | | 233,667 | | 0.0 |
1,897,559 | | (2),(4) | | Sequoia Mortgage Trust 2019-CH3 B1B, 4.505%, 09/25/2049 | | | 1,745,784 | | 0.1 |
212,927 | | (2),(4) | | Sequoia Mortgage Trust 2020-1 A1, 3.500%, 02/25/2050 | | | 197,814 | | 0.0 |
1,443,408 | | (2),(4) | | Sequoia Mortgage Trust 2020-2 B3, 3.649%, 03/25/2050 | | | 1,280,148 | | 0.1 |
564,401 | | (2),(4) | | Sequoia Mortgage Trust 2021-3 B3, 2.654%, 05/25/2051 | | | 454,482 | | 0.0 |
1,226,215 | | (2),(4) | | Sequoia Mortgage Trust 2021-5 B3, 3.052%, 07/25/2051 | | | 1,003,814 | | 0.1 |
1,110,921 | | (2),(4) | | Sequoia Mortgage Trust 2022-1 B3, 2.948%, 02/25/2052 | | | 908,320 | | 0.0 |
2,255,765 | | (2),(4) | | Shellpoint Co-Originator Trust 2017-2 B2, 3.654%, 10/25/2047 | | | 2,105,249 | | 0.1 |
2,990,428 | | (2),(4) | | Shellpoint Co-Originator Trust 2017-2 B3, 3.654%, 10/25/2047 | | | 2,728,231 | | 0.1 |
2,000,000 | | (2),(4) | | Starwood Mortgage Residential Trust 2022-2 M1, 4.200%, 02/25/2067 | | | 1,771,706 | | 0.1 |
38,325 | | (4) | | Structured Adjustable Rate Mortgage Loan Trust 2005-4 3A1, 2.576%, 03/25/2035 | | | 35,606 | | 0.0 |
2,511,367 | | (2),(4) | | UWM Mortgage Trust 2021-INV4 B3, 3.232%, 12/25/2051 | | | 2,017,092 | | 0.1 |
61,892 | | (4) | | WaMu Mortgage Pass Through Certificates Series 2006-AR12 2A3, 2.521%, 10/25/2036 | | | 58,244 | | 0.0 |
138,216 | | (4) | | WaMu Mortgage Pass-Through Certificates Series 2004-AR4 A6 Trust, 3.467%, 06/25/2034 | | | 133,611 | | 0.0 |
925,702 | | (4) | | WaMu Mortgage Pass-Through Certificates Series 2004-AR7 A6, 3.258%, 07/25/2034 | | | 894,110 | | 0.0 |
73,665,536 | | (4),(5) | | WaMu Mortgage Pass-Through Certificates Series 2005-AR1 X Trust, 0.879%, 01/25/2045 | | | 582,805 | | 0.0 |
154,602 | | (4) | | WaMu Mortgage Pass-Through Certificates Series 2005-AR10 1A3, 2.950%, 09/25/2035 | | | 145,566 | | 0.0 |
28,356,622 | | (4),(5) | | WaMu Mortgage Pass-Through Certificates Series 2005-AR2 X Trust, 1.142%, 01/25/2045 | | | 364,682 | | 0.0 |
12,545 | | (4) | | WaMu Mortgage Pass-Through Certificates Series 2006-AR12 1A1, 3.011%, 10/25/2036 | | | 12,043 | | 0.0 |
80,385 | | (4) | | WaMu Mortgage Pass-Through Certificates Series 2006-AR14 1A3, 2.577%, 11/25/2036 | | | 75,087 | | 0.0 |
308,928 | | (4) | | WaMu Mortgage Pass-Through Certificates Series 2006-AR14 1A4, 2.577%, 11/25/2036 | | | 288,567 | | 0.0 |
42,012 | | (4) | | WaMu Mortgage Pass-Through Certificates Series 2006-AR8 1A4, 2.853%, 08/25/2046 | | | 39,326 | | 0.0 |
75,724 | | (4) | | WaMu Mortgage Pass-Through Certificates Series 2007-HY2 1A1, 3.196%, 12/25/2036 | | | 71,145 | | 0.0 |
390,028 | | (4) | | WaMu Mortgage Pass-Through Certificates Series 2007-HY3 1A1, 2.913%, 03/25/2037 | | | 321,815 | | 0.0 |
8,550 | | (4) | | WaMu Mortgage Pass-Through Certificates Series 2007-HY4 1A1, 2.743%, 04/25/2037 | | | 7,933 | | 0.0 |
48,961 | | (4) | | WaMu Mortgage Pass-Through Certificates Series 2007-HY7 2A2, 3.107%, 07/25/2037 | | | 46,830 | | 0.0 |
467,639 | | | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-10 2A3, 2.524%, (US0001M + 0.900%), 11/25/2035 | | | 436,850 | | 0.0 |
495,863 | | | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-10 2A9, 6.000%, 11/25/2035 | | | 476,544 | | 0.0 |
423,884 | | | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-11 A1, 5.750%, 01/25/2036 | | | 364,134 | | 0.0 |
565,207 | | | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-5 CB3, 5.500%, 07/25/2035 | | | 527,065 | | 0.0 |
105,486 | | | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-8 1A2, 5.500%, 10/25/2035 | | | 100,898 | | 0.0 |
644,262 | | | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 2CB2, 2.224%, (US0001M + 0.600%), 07/25/2036 | | | 360,165 | | 0.0 |
1,686,744 | | | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR5 3A Trust, 1.416%, (12MTA + 0.940%), 07/25/2046 | | | 1,097,058 | | 0.1 |
683,134 | | | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR6 2A, 1.436%, (12MTA + 0.960%), 08/25/2046 | | | 443,235 | | 0.0 |
23,960 | | | | Wells Fargo Alternative Loan 2007-PA2 2A1, 2.054%, (US0001M + 0.430%), 06/25/2037 | | | 19,346 | | 0.0 |
502,597 | | (4) | | Wells Fargo Mortgage Backed Securities 2006-AR12 1A1, 2.662%, 09/25/2036 | | | 464,791 | | 0.0 |
99,351 | | (4) | | Wells Fargo Mortgage Backed Securities 2007-AR7 A1, 2.767%, 12/28/2037 | | | 94,270 | | 0.0 |
1,356,219 | | (2),(4) | | Wells Fargo Mortgage Backed Securities 2018-1 B3, 3.668%, 07/25/2047 | | | 1,229,533 | | 0.1 |
1,527,026 | | (2),(4) | | Wells Fargo Mortgage Backed Securities 2019-4 B3 Trust, 3.509%, 09/25/2049 | | | 1,229,529 | | 0.1 |
1,932,143 | | (2),(4) | | Wells Fargo Mortgage Backed Securities 2020-1 B3 Trust, 3.376%, 12/25/2049 | | | 1,578,170 | | 0.1 |
2,860,487 | | (2),(4) | | Wells Fargo Mortgage Backed Securities 2020-4 B2 Trust, 3.177%, 07/25/2050 | | | 2,464,049 | | 0.1 |
1,983,750 | | (2),(4) | | Wells Fargo Mortgage Backed Securities 2021-1 B3 Trust, 2.718%, 12/25/2050 | | | 1,524,247 | | 0.1 |
405,167 | | (2),(4) | | WinWater Mortgage Loan Trust 2015-5 B4, 3.754%, 08/20/2045 | | | 372,956 | | 0.0 |
| | | | | | | | | |
| | Total Collateralized Mortgage Obligations | | | | | |
| | (Cost $565,418,736) | | | 517,404,679 | | 23.5 |
| | | | | | | |
U.S. GOVERNMENT AGENCY OBLIGATIONS: 7.2% | | |
| | | | Uniform Mortgage-Backed Securities: 7.2% |
79,898,000 | | (8) | | 4.000%,07/15/2052 | | | 78,810,326 | | 3.6 |
78,347,000 | | (8) | | 4.500%,07/15/2052 | | | 78,668,345 | | 3.6 |
3,377 | | | | 5.500%,10/01/2039 | | | 3,631 | | 0.0 |
| | | | | | | | | |
| | Total U.S. Government Agency Obligations | | | | | |
| | (Cost $155,568,730) | | | 157,482,302 | | 7.2 |
| | | | | | | |
COMMERCIAL MORTGAGE-BACKED SECURITIES: 17.1% | | |
1,290,000 | | (2),(6) | | BAMLL Re-REMIC Trust 2015-FRR11 CK25, 0.000%, 09/27/2045 | | | 1,266,735 | | 0.1 |
5,320,000 | | (2),(4),(5) | | BANK 2017-BNK4 XE, 1.602%, 05/15/2050 | | | 305,471 | | 0.0 |
4,380,000 | | (2) | | BANK 2017-BNK6 D, 3.100%, 07/15/2060 | | | 3,509,927 | | 0.2 |
1,600,000 | | (2),(4) | | BANK 2017-BNK6 E, 2.771%, 07/15/2060 | | | 1,025,368 | | 0.0 |
16,600,000 | | (2),(4),(5) | | BANK 2017-BNK6 XE, 1.500%, 07/15/2060 | | | 1,033,538 | | 0.0 |
50,572,925 | | (4),(5) | | BANK 2019-BN17 XA, 1.178%, 04/15/2052 | | | 2,771,113 | | 0.1 |
9,973,653 | | (4),(5) | | BANK 2019-BNK16 XA, 1.103%, 02/15/2052 | | | 479,341 | | 0.0 |
29,099,124 | | (4),(5) | | BANK 2019-BNK19 XA, 1.087%, 08/15/2061 | | | 1,533,688 | | 0.1 |
58,195,310 | | (4),(5) | | BANK 2019-BNK22 XA, 0.712%, 11/15/2062 | | | 2,086,183 | | 0.1 |
10,749,460 | | (4),(5) | | BBCMS Trust 2021-C10 XA, 1.426%, 07/15/2054 | | | 883,995 | | 0.0 |
103,330,168 | | (4),(5) | | Benchmark 2018-B7 XA Mortgage Trust, 0.588%, 05/15/2053 | | | 1,988,816 | | 0.1 |
52,845,719 | | (4),(5) | | Benchmark 2019-B10 XA Mortgage Trust, 1.386%, 03/15/2062 | | | 3,042,761 | | 0.1 |
42,285,000 | | (2),(4),(5) | | Benchmark 2019-B10 XB Mortgage Trust, 1.062%, 03/15/2062 | | | 2,267,009 | | 0.1 |
43,052,819 | | (4),(5) | | Benchmark 2019-B12 XA Mortgage Trust, 1.179%, 08/15/2052 | | | 2,111,291 | | 0.1 |
3,090,000 | | (2) | | Benchmark 2019-B9 D Mortgage Trust, 3.000%, 03/15/2052 | | | 2,393,595 | | 0.1 |
7,330,000 | | (2),(4),(5) | | Benchmark 2019-B9 XD Mortgage Trust, 2.168%, 03/15/2052 | | | 779,607 | | 0.0 |
17,468,962 | | (4),(5) | | Benchmark 2021-B24 XA Mortgage Trust, 1.271%, 03/15/2054 | | | 1,182,076 | | 0.1 |
9,919,883 | | (4),(5) | | Benchmark 2021-B28 XA Mortgage Trust, 1.400%, 08/15/2054 | | | 809,898 | | 0.0 |
2,653,000 | | (2),(6) | | BMD2 Re-Remic Trust 2019-FRR1 3AB, 0.000%, 05/25/2052 | | | 1,831,448 | | 0.1 |
8,069,000 | | (2),(4) | | BMD2 Re-Remic Trust 2019-FRR1 5B13, 2.208%, 05/25/2052 | | | 6,150,152 | | 0.3 |
3,002,000 | | (2),(4) | | BMD2 Re-Remic Trust 2019-FRR1 6B10, 2.520%, 05/25/2052 | | | 2,426,822 | | 0.1 |
4,500,000 | | (2) | | BPR Trust 2021-WILL D, 6.324%, (US0001M + 5.000%), 06/15/2038 | | | 4,250,658 | | 0.2 |
91,652,524 | | (4),(5) | | Cantor Commercial Real Estate Lending 2019-CF1 XA, 1.296%, 05/15/2052 | | | 5,049,577 | | 0.2 |
38,268,657 | | (4),(5) | | Cantor Commercial Real Estate Lending 2019-CF2 XA, 1.325%, 11/15/2052 | | | 2,386,240 | | 0.1 |
6,910,404 | | (4),(5) | | CD 2016-CD1 Mortgage Trust XA, 1.504%, 08/10/2049 | | | 289,808 | | 0.0 |
14,660,000 | | (2),(4),(5) | | CD 2016-CD1 Mortgage Trust XB, 0.831%, 08/10/2049 | | | 356,230 | | 0.0 |
1,000,000 | | (2),(4) | | Citigroup Commercial Mortgage Trust 2013-GC17 D, 5.252%, 11/10/2046 | | | 916,946 | | 0.0 |
4,126,000 | | (2),(4) | | Citigroup Commercial Mortgage Trust 2014-GC19 E, 4.760%, 03/10/2047 | | | 3,850,236 | | 0.2 |
2,130,000 | | (2),(4) | | Citigroup Commercial Mortgage Trust 2016-C2 E, 4.578%, 08/10/2049 | | | 1,555,818 | | 0.1 |
6,540,000 | | (2),(4) | | Citigroup Commercial Mortgage Trust 2016-P4 E, 4.849%, 07/10/2049 | | | 4,471,653 | | 0.2 |
5,790,000 | | (2),(4) | | Citigroup Commercial Mortgage Trust 2016-P4 F, 4.849%, 07/10/2049 | | | 3,324,611 | | 0.2 |
5,680,000 | | (2) | | Citigroup Commercial Mortgage Trust 2016-P5 D, 3.000%, 10/10/2049 | | | 4,542,797 | | 0.2 |
25,938,951 | | (4),(5) | | Citigroup Commercial Mortgage Trust 2017-C4 XA, 1.225%, 10/12/2050 | | | 1,089,728 | | 0.1 |
33,746,228 | | (4),(5) | | Citigroup Commercial Mortgage Trust 2019-C7 XA, 0.998%, 12/15/2072 | | | 1,682,982 | | 0.1 |
40,751,854 | | (4),(5) | | Citigroup Commercial Mortgage Trust 2019-GC41 XA, 1.183%, 08/10/2056 | | | 2,163,695 | | 0.1 |
3,000,000 | | (4) | | COMM 2012-CCRE2 C Mortgage Trust, 5.029%, 08/15/2045 | | | 2,991,995 | | 0.1 |
7,296,043 | | (4),(5) | | COMM 2012-CR3 XA, 1.980%, 10/15/2045 | | | 22,575 | | 0.0 |
717,791 | | (4),(5) | | COMM 2012-CR4 XA, 1.817%, 10/15/2045 | | | 598 | | 0.0 |
6,321,032 | | (2),(4),(5) | | COMM 2012-LTRT XA, 0.951%, 10/05/2030 | | | 140 | | 0.0 |
1,670,000 | | (2),(4) | | COMM 2013-CR10 E Mortgage Trust, 5.063%, 08/10/2046 | | | 1,566,914 | | 0.1 |
3,460,000 | | (2),(4) | | COMM 2013-CR10 F Mortgage Trust, 5.063%, 08/10/2046 | | | 3,107,686 | | 0.1 |
5,070,000 | | (2),(4) | | COMM 2013-GAM F, 3.531%, 02/10/2028 | | | 4,444,897 | | 0.2 |
2,611,000 | | (2),(4) | | COMM 2013-LC6 D Mortgage Trust, 4.425%, 01/10/2046 | | | 2,515,558 | | 0.1 |
9,705,845 | | (4),(5) | | COMM 2016-COR1 XA, 1.454%, 10/10/2049 | | | 411,222 | | 0.0 |
2,490,442 | | (4),(5) | | COMM 2016-CR28 XA, 0.776%, 02/10/2049 | | | 45,324 | | 0.0 |
19,827,829 | | (4),(5) | | COMM 2017-COR2 XA, 1.310%, 09/10/2050 | | | 939,612 | | 0.0 |
5,725,000 | | (2),(4) | | COMM 2020-CBM F Mortgage Trust, 3.754%, 02/10/2037 | | | 5,014,986 | | 0.2 |
2,792,000 | | (2) | | CSAIL 2020-C19 E Commercial Mortgage Trust, 2.500%, 03/15/2053 | | | 1,965,507 | | 0.1 |
568,000 | | (2) | | CSWF 2021-SOP2 D, 3.641%, (US0001M + 2.317%), 06/15/2034 | | | 533,825 | | 0.0 |
1,432,000 | | (2) | | CSWF 2021-SOP2 E, 4.691%, (US0001M + 3.367%), 06/15/2034 | | | 1,341,648 | | 0.1 |
2,568,423 | | (2),(9) | | DBUBS 2011-LC2A F Mortgage Trust, 4.000%, (US0001M + 3.650%), 07/10/2044 | | | 2,565,582 | | 0.1 |
20,120,265 | | (4),(5) | | Freddie Mac Multifamily Structured Pass Through Certificates K109 X1, 1.697%, 04/25/2030 | | | 1,975,764 | | 0.1 |
2,446,345 | | (4),(5) | | Freddie Mac Multifamily Structured Pass Through Certificates K-1521 X1, 1.096%, 08/25/2036 | | | 238,769 | | 0.0 |
758,959 | | (4),(5) | | Freddie Mac Multifamily Structured Pass Through Certificates K715 X3, 3.618%, 02/25/2041 | | | 1 | | 0.0 |
8,456,000 | | (2),(6) | | FREMF 2016-K60 D Mortgage Trust, 0.000%, 12/25/2049 | | | 6,031,532 | | 0.3 |
1,717,920 | | (2) | | FREMF 2018-KBF2 C Mortgage Trust, 5.620%, (US0001M + 4.500%), 10/25/2025 | | | 1,683,356 | | 0.1 |
2,739,814 | | (2) | | FREMF 2019-KBF3 C Mortgage Trust, 5.870%, (US0001M + 4.750%), 01/25/2029 | | | 2,735,597 | | 0.1 |
14,878,000 | | (2),(6) | | FREMF 2019-KG01 C Mortgage Trust, 0.000%, 05/25/2029 | | | 8,694,068 | | 0.4 |
189,687,902 | | (2),(5) | | FREMF 2019-KG01 X2A Mortgage Trust, 0.100%, 04/25/2029 | | | 717,997 | | 0.0 |
21,120,000 | | (2),(5) | | FREMF 2019-KG01 X2B Mortgage Trust, 0.100%, 05/25/2029 | | | 101,054 | | 0.0 |
2,000,000 | | (2),(4) | | FRR Re-REMIC Trust 2018-C1 B725, 2.954%, 02/27/2050 | | | 1,910,681 | | 0.1 |
| 1,268,740 | | | (2),(4),(10) | | FRR Re-REMIC Trust 2018-C1 C725, 0.370%, 02/27/2050 | | | 1,144,330 | | | | 0.1 |
| 2,648,000 | | | (2) | | GAM RE-REMIC TR 2021-FFR2 BK44, 1.750%, 09/27/2051 | | | 2,355,146 | | | | 0.1 |
| 2,975,000 | | | (2) | | GAM RE-REMIC TR 2021-FFR2 BK78, 2.430%, 09/27/2051 | | | 2,382,479 | | | | 0.1 |
| 2,263,000 | | | (2),(6) | | GAM RE-REMIC TR 2021-FFR2 C730, 0.000%, 09/27/2051 | | | 1,913,891 | | | | 0.1 |
| 2,751,000 | | | (2),(6) | | GAM RE-REMIC TR 2021-FFR2 CK44, 0.000%, 09/27/2051 | | | 2,271,595 | | | | 0.1 |
| 2,238,000 | | | (2) | | GAM RE-REMIC TR 2021-FFR2 CK49, 1.050%, 09/27/2051 | | | 1,904,587 | | | | 0.1 |
| 1,900,000 | | | (2),(6) | | GAM RE-REMIC TR 2021-FFR2 CK78, 0.000%, 09/27/2051 | | | 1,203,007 | | | | 0.1 |
| 2,263,000 | | | (2),(6) | | GAM RE-REMIC TR 2021-FFR2 D730, 0.000%, 09/27/2051 | | | 1,867,243 | | | | 0.1 |
| 2,237,000 | | | (2),(6) | | GAM RE-REMIC TR 2021-FFR2 DK49, 0.000%, 09/27/2051 | | | 1,768,412 | | | | 0.1 |
| 3,000,000 | | | (2) | | GAM Re-REMIC Trust 2021-FRR1 2D, 1.490%, 11/29/2050 | | | 1,967,689 | | | | 0.1 |
| 4,690,000 | | | (2),(5) | | GAM Resecuritization Trust 2022-FRR3 BK47, 2.038%, 01/29/2052 | | | 3,867,794 | | | | 0.2 |
| 3,192,000 | | | (2),(10) | | GAM Resecuritization Trust 2022-FRR3 BK61, 0.820%, 01/29/2052 | | | 2,506,012 | | | | 0.1 |
| 3,476,000 | | | (2),(10) | | GAM Resecuritization Trust 2022-FRR3 BK89, 1.280%, 01/27/2052 | | | 2,382,770 | | | | 0.1 |
| 1,815,000 | | | (2),(10) | | GAM Resecuritization Trust 2022-FRR3 C728, 0.460%, 08/27/2050 | | | 1,594,039 | | | | 0.1 |
| 1,850,000 | | | (2),(10) | | GAM Resecuritization Trust 2022-FRR3 CK47, 0.640%, 05/27/2048 | | | 1,566,103 | | | | 0.1 |
| 2,238,000 | | | (2),(10) | | GAM Resecuritization Trust 2022-FRR3 CK61, 1.080%, 11/27/2049 | | | 1,663,047 | | | | 0.1 |
| 1,563,000 | | | (2),(5) | | GAM Resecuritization Trust 2022-FRR3 CK71, 1.411%, 01/29/2052 | | | 1,176,146 | | | | 0.1 |
| 1,820,000 | | | (2),(10) | | GAM Resecuritization Trust 2022-FRR3 CK89, 1.500%, 01/27/2052 | | | 1,168,360 | | | | 0.1 |
| 1,816,000 | | | (2),(10) | | GAM Resecuritization Trust 2022-FRR3 D728, 0.520%, 01/29/2052 | | | 1,555,228 | | | | 0.1 |
| 2,453,000 | | | (2),(10) | | GAM Resecuritization Trust 2022-FRR3 DK27, 0.140%, 12/27/2045 | | | 2,371,078 | | | | 0.1 |
| 1,462,000 | | | (2),(10) | | GAM Resecuritization Trust 2022-FRR3 DK41, 0.560%, 10/27/2047 | | | 1,269,123 | | | | 0.1 |
| 1,849,000 | | | (2),(10) | | GAM Resecuritization Trust 2022-FRR3 DK47, 0.720%, 05/27/2048 | | | 1,532,472 | | | | 0.1 |
| 610,000 | | | (2),(10) | | GAM Resecuritization Trust 2022-FRR3 EK27, 0.180%, 12/27/2045 | | | 584,083 | | | | 0.0 |
| 974,000 | | | (2),(10) | | GAM Resecuritization Trust 2022-FRR3 EK41, 0.610%, 01/29/2052 | | | 813,741 | | | | 0.0 |
| 2,000,000 | | | (2) | | GS Mortgage Securities Corp. II 2018-RIVR F, 3.424%, (US0001M + 2.100%), 07/15/2035 | | | 1,729,451 | | | | 0.1 |
| 15,518,000 | | | (2),(4) | | GS Mortgage Securities Trust 2012-GCJ7 E, 5.000%, 05/10/2045 | | | 11,832,475 | | | | 0.5 |
| 15,304,357 | | | (4),(5) | | GS Mortgage Securities Trust 2019-GC38 XA, 1.115%, 02/10/2052 | | | 734,636 | | | | 0.0 |
| 40,731,413 | | | (4),(5) | | GS Mortgage Securities Trust 2019-GC40 XA, 1.220%, 07/10/2052 | | | 2,135,218 | | | | 0.1 |
| 83,916,834 | | | (4),(5) | | GS Mortgage Securities Trust 2019-GSA1 XA, 0.949%, 11/10/2052 | | | 4,041,305 | | | | 0.2 |
| 180,000 | | | (2),(4) | | IMT Trust 2017-APTS EFX, 3.613%, 06/15/2034 | | | 168,364 | | | | 0.0 |
| 724,064 | | | (4),(5) | | JP Morgan Chase Commercial Mortgage Securities Trust 2012-CIBX XA, 0.552%, 06/15/2045 | | | 1 | | | | 0.0 |
| 2,000,000 | | | (4) | | JP Morgan Chase Commercial Mortgage Securities Trust 2013-C10 D, 4.235%, 12/15/2047 | | | 1,948,567 | | | | 0.1 |
| 5,500,000 | | | (2),(4) | | JP Morgan Chase Commercial Mortgage Securities Trust 2013-C10 E, 3.500%, 12/15/2047 | | | 5,117,838 | | | | 0.2 |
| 7,470,000 | | | (2),(4) | | JP Morgan Chase Commercial Mortgage Securities Trust 2013-C13 F, 3.986%, 01/15/2046 | | | 6,145,396 | | | | 0.3 |
| 5,910,000 | | | (2),(4) | | JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT FFX, 5.542%, 07/05/2033 | | | 5,712,498 | | | | 0.3 |
| 5,440,000 | | | (2) | | JP Morgan Chase Commercial Mortgage Securities Trust 2019-MFP E, 3.484%, (US0001M + 2.160%), 07/15/2036 | | | 5,119,603 | | | | 0.2 |
| 3,810,000 | | | (2),(4) | | JP Morgan Chase Commercial Mortgage Securities Trust 2020-LOOP E, 3.990%, 12/05/2038 | | | 2,934,469 | | | | 0.1 |
| 1,000,000 | | | (2),(4) | | JPMBB Commercial Mortgage Securities Trust 2013-C15 D, 5.358%, 11/15/2045 | | | 972,500 | | | | 0.0 |
| 2,549,000 | | | (2),(4) | | JPMBB Commercial Mortgage Securities Trust 2013-C17 D, 5.049%, 01/15/2047 | | | 2,380,157 | | | | 0.1 |
| 9,560,000 | | | (2),(4) | | JPMBB Commercial Mortgage Securities Trust 2013-C17 E, 3.867%, 01/15/2047 | | | 7,931,379 | | | | 0.4 |
| 2,200,000 | | | (2),(4) | | JPMBB Commercial Mortgage Securities Trust 2013-C17 F, 3.867%, 01/15/2047 | | | 1,732,025 | | | | 0.1 |
| 1,000,000 | | | (2),(4) | | JPMBB Commercial Mortgage Securities Trust 2014-C19 D, 4.806%, 04/15/2047 | | | 934,720 | | | | 0.0 |
| 1,405,000 | | | (4) | | JPMBB Commercial Mortgage Securities Trust 2014-C21 C, 4.797%, 08/15/2047 | | | 1,326,323 | | | | 0.1 |
| 45,243,699 | | | (4),(5) | | JPMBB Commercial Mortgage Securities Trust 2015-C27 XA, 1.287%, 02/15/2048 | | | 1,056,963 | | | | 0.1 |
| 47,774,480 | | | (4),(5) | | JPMBB Commercial Mortgage Securities Trust 2015-C28 XA, 1.095%, 10/15/2048 | | | 867,766 | | | | 0.0 |
| 10,225,778 | | | (2),(4),(5) | | LSTAR Commercial Mortgage Trust 2017-5 X, 0.943%, 03/10/2050 | | | 228,556 | | | | 0.0 |
| 4,472,490 | | | (2) | | MBRT 2019-MBR H1, 5.574%, (US0001M + 4.000%), 11/15/2036 | | | 4,148,364 | | | | 0.2 |
| 2,817,000 | | | (2),(4) | | Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6 E, 4.737%, 11/15/2045 | | | 2,734,601 | | | | 0.1 |
| 10,763,755 | | | (4),(5) | | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13 XA, 1.101%, 11/15/2046 | | | 91,952 | | | | 0.0 |
| 12,481,405 | | | (4),(5) | | Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19 XA, 1.103%, 12/15/2047 | | | 215,470 | | | | 0.0 |
| 3,180,000 | | | | | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25 D, 3.068%, 10/15/2048 | | | 2,764,528 | | | | 0.1 |
| 560,000 | | | (2) | | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26 D, 3.060%, 10/15/2048 | | | 486,178 | | | | 0.0 |
| 15,202,097 | | | (4),(5) | | Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34 XA, 0.914%, 11/15/2052 | | | 450,366 | | | | 0.0 |
| 5,970,000 | | | (2) | | Morgan Stanley Capital I Trust 2011-C1 K, 4.193%, 09/15/2047 | | | 6,295,828 | | | | 0.3 |
| 4,268,000 | | | (2) | | Morgan Stanley Capital I Trust 2011-C1 L, 4.193%, 09/15/2047 | | | 4,510,975 | | | | 0.2 |
| 2,021,315 | | | (2) | | Morgan Stanley Capital I Trust 2011-C1 M, 4.193%, 09/15/2047 | | | 1,878,721 | | | | 0.1 |
| 4,841,000 | | | (2),(4) | | Morgan Stanley Capital I Trust 2016-BNK2 D, 3.000%, 11/15/2049 | | | 3,818,603 | | | | 0.2 |
| 25,660,000 | | | (2),(4),(5) | | Morgan Stanley Capital I Trust 2018-L1 XD, 1.953%, 10/15/2051 | | | 2,386,442 | | | | 0.1 |
| 22,440,112 | | | (4),(5) | | Morgan Stanley Capital I Trust 2021-L6 XA, 1.349%, 06/15/2054 | | | 1,610,457 | | | | 0.1 |
| 31,718,946 | | | (4),(5) | | Morgan Stanley Capital I, Inc. 2017-HR2 XA, 0.915%, 12/15/2050 | | | 1,055,987 | | | | 0.0 |
| 13,000,000 | | | (2) | | Prima Capital CRE Securitization 2019-7A D Ltd., 4.250%, 12/25/2050 | | | 11,055,218 | | | | 0.5 |
| 42,600,000 | | | | | RFM 2022-WF1, 3.750%, 05/27/2027 | | | 42,600,000 | | | | 1.9 |
| 1,000,000 | | | (2),(4) | | UBS Commercial Mortgage Trust 2017-C5, 4.448%, 11/15/2050 | | | 841,689 | | | | 0.0 |
| 24,264,534 | | | (4),(5) | | UBS Commercial Mortgage Trust 2019-C16 XA, 1.740%, 04/15/2052 | | | 1,851,886 | | | | 0.1 |
| 1,900,000 | | | (2),(4) | | UBS-Barclays Commercial Mortgage Trust 2012-C4 D, 4.606%, 12/10/2045 | | | 1,791,715 | | | | 0.1 |
| 5,940,000 | | | (2) | | Wells Fargo Commercial Mortgage Trust 2015-NXS3 D, 3.153%, 09/15/2057 | | | 5,197,379 | | | | 0.2 |
| 78,780,000 | | | (4),(5) | | Wells Fargo Commercial Mortgage Trust 2016-NXS6 XB, 0.685%, 11/15/2049 | | | 1,682,111 | | | | 0.1 |
| 19,943,048 | | | (4),(5) | | Wells Fargo Commercial Mortgage Trust 2017-C40 XA, 1.055%, 10/15/2050 | | | 704,187 | | | | 0.0 |
| 37,636,374 | | | (4),(5) | | Wells Fargo Commercial Mortgage Trust 2019-C52 XA, 1.751%, 08/15/2052 | | | 3,072,274 | | | | 0.1 |
| 2,500,000 | | | (2) | | Wells Fargo Commercial Mortgage Trust 2021-C59 C, 2.500%, 04/15/2054 | | | 1,629,932 | | | | 0.1 |
| 19,287,247 | | | (4),(5) | | Wells Fargo Commercial Mortgage Trust 2021-C59 E, 1.676%, 04/15/2054 | | | 1,840,996 | | | | 0.1 |
| 7,735,000 | | | (2),(4) | | West Town Mall Trust 2017-KNOX E, 4.491%, 07/05/2030 | | | 7,723,574 | | | | 0.4 |
| 1,500,000 | | | (2),(4) | | WFLD 2014-MONT D Mortgage Trust, 3.880%, 08/10/2031 | | | 1,161,571 | | | | 0.1 |
| 44,158 | | | (2),(4),(5) | | WFRBS Commercial Mortgage Trust 2012-C8 XA, 1.491%, 08/15/2045 | | | 1 | | | | 0.0 |
| 1,688,779 | | | (2),(4),(5) | | WFRBS Commercial Mortgage Trust 2012-C9 XA, 1.978%, 11/15/2045 | | | 3,958 | | | | 0.0 |
| 9,230,000 | | | (2),(4) | | WFRBS Commercial Mortgage Trust 2013-C11 E, 4.371%, 03/15/2045 | | | 8,661,452 | | | | 0.4 |
| 960,000 | | | (2),(4) | | WFRBS Commercial Mortgage Trust 2013-C11 F, 4.371%, 03/15/2045 | | | 848,689 | | | | 0.0 |
| 5,950,000 | | | (2) | | WFRBS Commercial Mortgage Trust 2013-C12 F, 3.500%, 03/15/2048 | | | 5,359,120 | | | | 0.2 |
| 2,701,297 | | | (2),(4),(5) | | WFRBS Commercial Mortgage Trust 2013-C12 XA, 1.221%, 03/15/2048 | | | 11,665 | | | | 0.0 |
| 9,000,000 | | | (2),(4) | | WFRBS Commercial Mortgage Trust 2013-C17 D, 5.198%, 12/15/2046 | | | 8,544,837 | | | | 0.4 |
| 760,000 | | | (2) | | WFRBS Commercial Mortgage Trust 2013-C17 E, 3.500%, 12/15/2046 | | | 686,799 | | | | 0.0 |
| 22,698,267 | | | (4),(5) | | WFRBS Commercial Mortgage Trust 2013-UBS1 XA, 1.087%, 03/15/2046 | | | 214,897 | | | | 0.0 |
| 2,000,000 | | | (4) | | WFRBS Commercial Mortgage Trust 2014-C21 C, 4.234%, 08/15/2047 | | | 1,891,029 | | | | 0.1 |
| 1,900,000 | | | (2) | | WFRBS Commercial Mortgage Trust 2014-C21 D, 3.497%, 08/15/2047 | | | 1,677,230 | | | | 0.1 |
| | | | | | | | | | | | | |
| | | | Total Commercial Mortgage-Backed Securities | | | | | | | |
| | | | (Cost $398,574,620) | | | 376,745,967 | | | | 17.1 |
| | | | | | | | | | | | | |
U.S. TREASURY OBLIGATIONS: 3.9% | | | | | | | |
| | | | | | U.S. Treasury Bonds: 0.3% | | | | | | | |
| 1,000 | | | | | 1.250%,05/15/2050 | | | 637 | | | | 0.0 |
| 7,900 | | | | | 1.625%,11/15/2050 | | | 5,560 | | | | 0.0 |
| 4,695,000 | | | (1) | | 2.250%,02/15/2052 | | | 3,865,305 | | | | 0.2 |
| 2,444,000 | | | | | 3.250%,05/15/2042 | | | 2,385,955 | | | | 0.1 |
| | | | | | | | | 6,257,457 | | | | 0.3 |
| | | | | | | | | | | | | |
| | | | | | U.S. Treasury Notes: 3.6% | | | | | | | |
| 1,558,000 | | | | | 0.125%,05/31/2023 | | | 1,519,484 | | | | 0.1 |
| 3,600,000 | | | | | 0.250%,06/15/2024 | | | 3,414,375 | | | | 0.2 |
| 858,000 | | | | | 0.375%,09/30/2027 | | | 746,443 | | | | 0.0 |
| 3,638,200 | | | | | 0.500%,11/30/2023 | | | 3,515,126 | | | | 0.2 |
| 6,348,300 | | | | | 0.875%,01/31/2024 | | | 6,143,964 | | | | 0.3 |
| 7,000 | | | | | 1.125%,02/15/2031 | | | 6,016 | | | | 0.0 |
| 3,137,700 | | | | | 1.250%,11/30/2026 | | | 2,905,743 | | | | 0.1 |
| 725,000 | | | | | 1.250%,09/30/2028 | | | 649,470 | | | | 0.0 |
| 7,367,100 | | | | | 1.500%,01/31/2027 | | | 6,879,461 | | | | 0.3 |
| 6,692,000 | | | (1) | | 2.500%,05/31/2024 | | | 6,632,138 | | | | 0.3 |
| 7,460,000 | | | | | 2.625%,05/31/2027 | | | 7,319,834 | | | | 0.3 |
| 181,000 | | | | | 2.750%,04/30/2027 | | | 178,575 | | | | 0.0 |
| 5,202,000 | | | | | 2.750%,05/31/2029 | | | 5,100,398 | | | | 0.2 |
| 4,434,000 | | | | | 2.875%,06/15/2025 | | | 4,416,680 | | | | 0.2 |
| 13,738,000 | | | | | 3.000%,06/30/2024 | | | 13,746,050 | | | | 0.6 |
| 12,847,000 | | | | | 3.250%,06/30/2027 | | | 12,973,463 | | | | 0.6 |
| 3,320,000 | | | | | 3.250%,06/30/2029 | | | 3,359,684 | | | | 0.2 |
| | | | | | | | | 79,506,904 | | | | 3.6 |
| | | | | | | | | | | | | |
| | | | Total U.S. Treasury Obligations | | | | | | | |
| | | | (Cost $87,325,199) | | | 85,764,361 | | | | 3.9 |
| | | | | | | | | | | | | |
ASSET-BACKED SECURITIES: 13.2% | | | | | | | |
| | | | | | Automobile Asset-Backed Securities: 1.1% | | | | | | | |
| 2,450,000 | | | | | AmeriCredit Automobile Receivables Trust 2019-3 D, 2.580%, 09/18/2025 | | | 2,391,208 | | | | 0.1 |
| 4,400,000 | | | | | AmeriCredit Automobile Receivables Trust 2020-1 D, 1.800%, 12/18/2025 | | | 4,186,465 | | | | 0.2 |
| 3,000,000 | | | | | Carmax Auto Owner Trust 2019-2 D, 3.410%, 10/15/2025 | | | 2,979,776 | | | | 0.1 |
| 4,228,486 | | | | | Santander Drive Auto Receivables Trust 2019-2 D, 3.220%, 07/15/2025 | | | 4,218,708 | | | | 0.2 |
| 6,000,000 | | | | | Santander Drive Auto Receivables Trust 2019-3 D, 2.680%, 10/15/2025 | | | 5,986,220 | | | | 0.3 |
| 3,800,000 | | | (2) | | Tesla Auto Lease Trust 2019-A C, 2.680%, 01/20/2023 | | | 3,787,577 | | | | 0.2 |
| | | | | | | | | 23,549,954 | | | | 1.1 |
| | | | | | | | | | | | | |
| | | | | | Home Equity Asset-Backed Securities: 0.5% | | | | | | | |
| 2,381,574 | | | (2),(4) | | ACE Securities Corp. Mortgage Loan Trust Series 2007-D1 A2, 6.336%, 02/25/2038 | | | 1,940,125 | | | | 0.1 |
| 2,884,880 | | | (2) | | ACE Securities Corp. Mortgage Loan Trust Series 2007-D1 A3, 7.250%, 02/25/2038 | | | 2,326,668 | | | | 0.1 |
| 328,305 | | | | | GSAA Home Equity Trust 2006-3 A3, 2.224%, (US0001M + 0.300%), 03/25/2036 | | | 195,944 | | | | 0.0 |
| 2,074,504 | | | (4) | | GSAA Home Equity Trust 2006-4 4A3, 2.981%, 03/25/2036 | | | 1,470,168 | | | | 0.1 |
| 863,759 | | | | | GSAA Home Equity Trust 2007-1 1A1, 1.784%, (US0001M + 0.080%), 02/25/2037 | | | 304,641 | | | | 0.0 |
| 873,510 | | | (4) | | GSAA Trust 2006-7 AF2, 5.995%, 03/25/2046 | | | 402,498 | | | | 0.0 |
| 808,892 | | | (4) | | Morgan Stanley Mortgage Loan Trust 2007-10XS A2, 6.250%, 02/25/2037 | | | 438,458 | | | | 0.0 |
| 395,266 | | | | | Nomura Home Equity Loan, Inc. Home Equity Loan Trust Series 2007-1 2A4A, 2.084%, (US0001M + 0.230%), 02/25/2037 | | | 370,940 | | | | 0.0 |
| 3,679,356 | | | (4) | | Renaissance Home Equity Loan Trust 2004-4 MF2, 5.818%, 02/25/2035 | | | 3,224,791 | | | | 0.2 |
| | | | | | | | | 10,674,233 | | | | 0.5 |
| | | | | | | | | | | | | |
| | | | | | Other Asset-Backed Securities: 10.7% | | | | | | | |
| 3,089,000 | | | (2) | | Ajax Mortgage Loan Trust 2019-D A2, 3.500%, 09/25/2065 | | | 2,858,267 | | | | 0.1 |
| 4,234,000 | | | (2) | | Ajax Mortgage Loan Trust 2019-F A2, 3.500%, 07/25/2059 | | | 3,957,254 | | | | 0.2 |
| 2,500,000 | | | (2) | | AMMC CLO 16 Ltd. 2015-16A CR2, 2.988%, (US0003M + 1.950%), 04/14/2029 | | | 2,411,242 | | | | 0.1 |
| 2,000,000 | | | (2) | | AMMC CLO XI Ltd. 2012-11A CR2, 3.186%, (US0003M + 1.900%), 04/30/2031 | | | 1,869,406 | | | | 0.1 |
| 2,700,000 | | | (2) | | Apidos CLO XXIV 2016-24A BRR, 3.113%, (US0003M + 2.050%), 10/20/2030 | | | 2,552,723 | | | | 0.1 |
| 2,900,000 | | | (2) | | Apidos CLO XXXIII 2020-33A CR, 3.084%, (US0003M + 1.900%), 10/24/2034 | | | 2,690,260 | | | | 0.1 |
| 1,633,500 | | | (2) | | Applebee's Funding LLC / IHOP Funding LLC 2019-1A A2I, 4.194%, 06/05/2049 | | | 1,590,388 | | | | 0.1 |
| 742,500 | | | (2) | | Applebee's Funding LLC / IHOP Funding LLC 2019-1A A2II, 4.723%, 06/05/2049 | | | 695,568 | | | | 0.0 |
| 610,312 | | | (2) | | Aqua Finance Trust 2019-A A, 3.140%, 07/16/2040 | | | 591,802 | | | | 0.0 |
| 750,000 | | | (2) | | Atrium CDO Corp. 12A CR, 2.786%, (US0003M + 1.650%), 04/22/2027 | | | 720,098 | | | | 0.0 |
| 2,500,000 | | | (2) | | Atrium XIV LLC 14A A2BR, 2.304%, 08/23/2030 | | | 2,211,177 | | | | 0.1 |
| 2,000,000 | | | (2) | | Babson CLO Ltd. 2018-3A C, 2.963%, (US0003M + 1.900%), 07/20/2029 | | | 1,913,058 | | | | 0.1 |
| 2,000,000 | | | (2) | | Benefit Street Partners CLO V-B Ltd. 2018-5BA B, 3.213%, (US0003M + 2.150%), 04/20/2031 | | | 1,899,092 | | | | 0.1 |
| 1,000,000 | | | (2) | | BlueMountain CLO 2013-2A CR, 3.086%, (US0003M + 1.950%), 10/22/2030 | | | 946,198 | | | | 0.0 |
| 1,000,000 | | | (2) | | BlueMountain CLO 2015-4 CR Ltd., 2.963%, (US0003M + 1.900%), 04/20/2030 | | | 936,450 | | | | 0.0 |
| 1,250,000 | | | (2) | | BlueMountain CLO Ltd. 2021-28A C, 3.044%, (US0003M + 2.000%), 04/15/2034 | | | 1,151,460 | | | | 0.1 |
| 2,000,000 | | | (2) | | BlueMountain CLO XXIX Ltd. 2020-29A CR, 3.284%, (US0003M + 2.100%), 07/25/2034 | | | 1,848,778 | | | | 0.1 |
| 1,895,250 | | | (2) | | Bojangles Issuer LLC 2020-3A A2, 3.832%, 10/20/2050 | | | 1,799,985 | | | | 0.1 |
| 4,000,000 | | | (2) | | Bristol Park CLO Ltd. 2016-1A CR, 2.994%, (US0003M + 1.950%), 04/15/2029 | | | 3,797,476 | | | | 0.2 |
| 750,000 | | | (2) | | Buttermilk Park CLO Ltd. 2018-1A C, 3.144%, (US0003M + 2.100%), 10/15/2031 | | | 711,682 | | | | 0.0 |
| 1,000,000 | | | (2) | | Carlyle Global Market Strategies CLO 2014-3RA B Ltd., 3.125%, (US0003M + 1.900%), 07/27/2031 | | | 933,181 | | | | 0.0 |
| 1,500,000 | | | (2) | | Carlyle US CLO 2016-4A BR Ltd., 3.163%, (US0003M + 2.100%), 10/20/2027 | | | 1,433,541 | | | | 0.1 |
| 1,000,000 | | | (2) | | Cent CLO C17A BR Ltd., 3.136%, (US0003M + 1.850%), 04/30/2031 | | | 935,110 | | | | 0.0 |
| 5,900,000 | | | (2) | | CIFC Funding 2015-4A BR2 Ltd., 2.963%, (US0003M + 1.900%), 04/20/2034 | | | 5,520,901 | | | | 0.3 |
| 5,500,000 | | | (2) | | CIFC Funding 2019-2A CR Ltd., 3.144%, (US0003M + 2.100%), 04/17/2034 | | | 5,195,091 | | | | 0.2 |
| 947,325 | | | | | Countrywide Asset-Backed Certificates 2005-AB2 M1, 2.329%, (US0001M + 0.705%), 09/25/2035 | | | 913,355 | | | | 0.0 |
| 826,625 | | | (2) | | DB Master Finance LLC 2019-1A A23, 4.352%, 05/20/2049 | | | 773,697 | | | | 0.0 |
| 437,625 | | | (2) | | DB Master Finance LLC 2019-1A A2II, 4.021%, 05/20/2049 | | | 423,798 | | | | 0.0 |
| 4,079,500 | | | (2) | | DB Master Finance LLC 2021-1A A23, 2.791%, 11/20/2051 | | | 3,374,360 | | | | 0.2 |
| 3,000,000 | | | (2) | | Dewolf Park CLO Ltd. 2017-1A DR, 3.894%, (US0003M + 2.850%), 10/15/2030 | | | 2,821,362 | | | | 0.1 |
| 567,000 | | | (2) | | Domino's Pizza Master Issuer LLC 2015-1A A1II, 4.474%, 10/25/2045 | | | 564,932 | | | | 0.0 |
| 1,053,250 | | | (2) | | Domino's Pizza Master Issuer LLC 2017-1A A23, 4.118%, 07/25/2047 | | | 1,010,120 | | | | 0.1 |
| 2,277,400 | | | (2) | | Domino's Pizza Master Issuer LLC 2018-1A A2I, 4.116%, 07/25/2048 | | | 2,229,197 | | | | 0.1 |
| 3,470,125 | | | (2) | | Domino's Pizza Master Issuer LLC 2019-1A A2, 3.668%, 10/25/2049 | | | 3,151,917 | | | | 0.1 |
| 2,128,500 | | | (2) | | Driven Brands Funding LLC 2019-1A A2, 4.641%, 04/20/2049 | | | 2,043,766 | | | | 0.1 |
| 1,200,000 | | | (2) | | Driven Brands Funding, LLC 2018-1A A2, 4.739%, 04/20/2048 | | | 1,187,136 | | | | 0.1 |
| 2,750,000 | | | (2) | | Dryden 30 Senior Loan Fund 2013-30A DR, 4.011%, (US0003M + 2.600%), 11/15/2028 | | | 2,499,989 | | | | 0.1 |
| 1,750,000 | | | (2) | | Dryden 55 CLO Ltd. 2018-55A C, 2.944%, (US0003M + 1.900%), 04/15/2031 | | | 1,647,684 | | | | 0.1 |
| 5,000,000 | | | (2) | | Dryden 75 CLO Ltd. 2019-75A CR2, 2.844%, (US0003M + 1.800%), 04/15/2034 | | | 4,607,260 | | | | 0.2 |
| 6,000,000 | | | (2) | | Dryden 86 CLO Ltd. 2020-86A DR, 4.244%, (US0003M + 3.200%), 07/17/2034 | | | 5,409,258 | | | | 0.3 |
| 3,061,863 | | | (2) | | Five Guys Holdings, Inc. 2017-1A A2, 4.600%, 07/25/2047 | | | 2,974,704 | | | | 0.1 |
| 867,503 | | | (2) | | Helios Issuer, LLC 2018-1A A, 4.870%, 07/20/2048 | | | 822,038 | | | | 0.0 |
| 3,537,678 | | | (2) | | Helios Issuer, LLC 2018-1A B, 7.710%, 07/20/2048 | | | 3,392,648 | | | | 0.2 |
| 1,000,000 | | | (2) | | JG Wentworth XLII LLC 2018-2A B, 4.700%, 10/15/2077 | | | 944,625 | | | | 0.0 |
| 1,600,000 | | | (2) | | Kayne CLO 10 Ltd. 2021-10A C, 2.934%, (US0003M + 1.750%), 04/23/2034 | | | 1,485,078 | | | | 0.1 |
| 1,710,000 | | | (2) | | Kayne CLO I Ltd. 2018-1A CR, 2.794%, (US0003M + 1.750%), 07/15/2031 | | | 1,606,613 | | | | 0.1 |
| 1,350,000 | | | (2) | | LCM XVIII L.P. 18A CR, 2.913%, (US0003M + 1.850%), 04/20/2031 | | | 1,260,521 | | | | 0.1 |
| 1,000,000 | | | (2) | | LCM XX L.P. 20A-CR, 3.013%, (US0003M + 1.950%), 10/20/2027 | | | 965,505 | | | | 0.0 |
| 2,800,000 | | | (2) | | LCM XXIV Ltd. 24A CR, 2.963%, (US0003M + 1.900%), 03/20/2030 | | | 2,643,768 | | | | 0.1 |
| 830,988 | | | (2) | | LCSS Financing 2018-A A LLC, 4.700%, 12/15/2062 | | | 756,896 | | | | 0.0 |
| 1,000,000 | | | (2) | | Madison Park Funding XIII Ltd. 2014-13A CR2, 2.944%, (US0003M + 1.900%), 04/19/2030 | | | 960,836 | | | | 0.0 |
| 2,500,000 | | | (2) | | Madison Park Funding XIX Ltd. 2015-19A B1R2, 2.986%, (US0003M + 1.850%), 01/22/2028 | | | 2,403,532 | | | | 0.1 |
| 1,000,000 | | | (2) | | Magnetite VIII Ltd. 2014-8A CR2, 2.894%, (US0003M + 1.850%), 04/15/2031 | | | 948,300 | | | | 0.0 |
| 586,095 | | | (2) | | Marlette Funding Trust 2018-4A C, 4.910%, 12/15/2028 | | | 585,515 | | | | 0.0 |
| 1,425,666 | | | (2) | | Marlette Funding Trust 2019-2A C, 4.110%, 07/16/2029 | | | 1,418,649 | | | | 0.1 |
| 2,717,263 | | | (2) | | Marlette Funding Trust 2019-3A C, 3.790%, 09/17/2029 | | | 2,702,382 | | | | 0.1 |
| 144,154 | | | (2) | | Marlette Funding Trust 2019-4A B, 2.950%, 12/17/2029 | | | 144,157 | | | | 0.0 |
| 1,070,794 | | | (2) | | Marlette Funding Trust 2020-1A C, 2.800%, 03/15/2030 | | | 1,069,572 | | | | 0.1 |
| 1,723,153 | | | (2) | | Mill City Solar Loan 2019-2GS A Ltd., 3.690%, 07/20/2043 | | | 1,623,040 | | | | 0.1 |
| 587,142 | | | (2) | | Mosaic Solar Loan Trust 2018-1A A, 4.010%, 06/22/2043 | | | 567,085 | | | | 0.0 |
| 1,429,420 | | | (2) | | Mosaic Solar Loan Trust 2018-2-GS B, 4.740%, 02/22/2044 | | | 1,387,821 | | | | 0.1 |
| 1,333,356 | | | (2) | | Mosaic Solar Loan Trust 2019-1A A, 4.370%, 12/21/2043 | | | 1,278,486 | | | | 0.1 |
| 553,599 | | | (2) | | Mosaic Solar Loan Trust 2019-2A A, 2.880%, 09/20/2040 | | | 505,049 | | | | 0.0 |
| 1,037,229 | | | (2) | | Mosaic Solar Loans 2017-2A A LLC, 3.820%, 06/22/2043 | | | 985,819 | | | | 0.0 |
| 3,500,000 | | | (2) | | Neuberger Berman Loan Advisers CLO 24 Ltd. 2017-24A CR, 2.994%, (US0003M + 1.950%), 04/19/2030 | | | 3,329,907 | | | | 0.2 |
| 7,700,000 | | | (2) | | Neuberger Berman Loan Advisers CLO 30 Ltd. 2018-30A CR, 2.813%, (US0003M + 1.750%), 01/20/2031 | | | 7,177,116 | | | | 0.3 |
| 2,300,000 | | | (2) | | Neuberger Berman Loan Advisers CLO 33 Ltd. 2019-33A CR, 2.944%, (US0003M + 1.900%), 10/16/2033 | | | 2,146,638 | | | | 0.1 |
| 4,750,000 | | | (2) | | Neuberger Berman Loan Advisers CLO 44 Ltd. 2021-44A C, 2.944%, (US0003M + 1.900%), 10/16/2034 | | | 4,413,472 | | | | 0.2 |
| 6,000,000 | | | (2) | | Oaktree CLO Ltd. 2021-1A C, 2.994%, (US0003M + 1.950%), 07/15/2034 | | | 5,497,512 | | | | 0.3 |
| 2,500,000 | | | (2) | | Oaktree CLO Ltd. 2021-1A D, 4.294%, (US0003M + 3.250%), 07/15/2034 | | | 2,345,240 | | | | 0.1 |
| 7,470,000 | | | (2) | | Octagon Investment Partners 31 Ltd. 2017-1A CR, 3.113%, (US0003M + 2.050%), 07/20/2030 | | | 7,071,042 | | | | 0.3 |
| 4,500,000 | | | (2) | | Octagon Investment Partners 32 Ltd. 2017-1A CR, 3.094%, (US0003M + 2.050%), 07/15/2029 | | | 4,253,976 | | | | 0.2 |
| 600,000 | | | (2) | | Octagon Investment Partners 33 Ltd. 2017-1A B, 2.913%, (US0003M + 1.850%), 01/20/2031 | | | 563,471 | | | | 0.0 |
| 1,500,000 | | | (2) | | OHA Credit Funding 9 Ltd. 2021-9A C, 2.944%, (US0003M + 1.900%), 07/19/2035 | | | 1,402,154 | | | | 0.1 |
| 5,000,000 | | | (2) | | Palmer Square CLO 2020-3A CR Ltd., 4.361%, (US0003M + 2.950%), 11/15/2031 | | | 4,708,350 | | | | 0.2 |
| 4,250,000 | | | (2) | | Palmer Square Loan Funding 2021-2A C Ltd., 3.878%, (US0003M + 2.400%), 05/20/2029 | | | 4,022,651 | | | | 0.2 |
| 186,382 | | | (4) | | Popular ABS Mortgage Pass-Through Trust 2005-D A5, 3.549%, 01/25/2036 | | | 182,496 | | | | 0.0 |
| 2,388,750 | | | (2) | | Primose Funding LLC 2019-1A A2, 4.475%, 07/30/2049 | | | 2,265,802 | | | | 0.1 |
| 1,100,000 | | | (2) | | Recette Clo Ltd. 2015-1A CRR, 2.813%, (US0003M + 1.750%), 04/20/2034 | | | 995,830 | | | | 0.0 |
| 2,050,000 | | | (2) | | Rockland Park CLO Ltd. 2021-1A C, 2.963%, (US0003M + 1.900%), 04/20/2034 | | | 1,908,183 | | | | 0.1 |
| 3,270,000 | | | (2) | | Shackleton 2019-15A CR CLO Ltd., 3.194%, (US0003M + 2.150%), 01/15/2032 | | | 3,087,079 | | | | 0.1 |
| 3,000,000 | | | (2) | | SoFi Consumer Loan Program 2018-4 D Trust, 4.760%, 11/26/2027 | | | 3,000,849 | | | | 0.1 |
| 3,000,000 | | | (2) | | SoFi Consumer Loan Program 2019-2 D Trust, 4.200%, 04/25/2028 | | | 2,960,124 | | | | 0.1 |
| 4,000,000 | | | (2) | | SoFi Consumer Loan Program 2019-3 D Trust, 3.890%, 05/25/2028 | | | 3,993,495 | | | | 0.2 |
| 1,638,527 | | | (2) | | SoFi Consumer Loan Program 2019-4 C Trust, 2.840%, 08/25/2028 | | | 1,632,333 | | | | 0.1 |
| 600,000 | | | (2) | | SoFi Consumer Loan Program 2019-4 D Trust, 3.480%, 08/25/2028 | | | 594,534 | | | | 0.0 |
| 2,100,000 | | | (2) | | SoFi Consumer Loan Program 2020-1 C Trust, 2.500%, 01/25/2029 | | | 2,071,898 | | | | 0.1 |
| 1,200,000 | | | (2) | | SoFi Consumer Loan Program 2020-1 D Trust, 2.940%, 01/25/2029 | | | 1,178,114 | | | | 0.1 |
| 1,915,875 | | | (2) | | Sonic Capital LLC 2020-1A A2I, 3.845%, 01/20/2050 | | | 1,818,214 | | | | 0.1 |
| 4,822,189 | | | (2) | | Sunnova Sol Issuer LLC 2020-1A A, 3.350%, 02/01/2055 | | | 4,290,626 | | | | 0.2 |
| 1,840,310 | | | (2) | | Sunrun Athena Issuer 2018-1 A LLC, 5.310%, 04/30/2049 | | | 1,802,769 | | | | 0.1 |
| 3,591,462 | | | (2) | | Sunrun Atlas Issuer 2019-2 A LLC, 3.610%, 02/01/2055 | | | 3,264,238 | | | | 0.2 |
| 5,900,000 | | | (2) | | Sunrun Jupiter Issuer 2022-1A A LLC, 4.750%, 07/30/2057 | | | 5,629,227 | | | | 0.3 |
| 1,061,500 | | | (2) | | Taco Bell Funding LLC 2018-1A A2II, 4.940%, 11/25/2048 | | | 1,019,212 | | | | 0.1 |
| 1,000,000 | | | (2) | | TCI-Flatiron Clo 2017-1A C Ltd., 3.294%, (US0003M + 1.850%), 11/18/2030 | | | 942,289 | | | | 0.0 |
| 2,250,000 | | | (2) | | TCI-Flatiron Clo 2018-1A CR Ltd., 2.989%, (US0003M + 1.750%), 01/29/2032 | | | 2,095,758 | | | | 0.1 |
| 4,100,000 | | | (2) | | TCW CLO 2020-1A DRR Ltd., 4.463%, (US0003M + 3.400%), 04/20/2034 | | | 3,795,153 | | | | 0.2 |
| 3,100,000 | | | (2) | | TCW CLO 2021-1A C Ltd., 2.963%, (US0003M + 1.900%), 03/18/2034 | | | 2,887,269 | | | | 0.1 |
| 3,000,000 | | | (2) | | TCW CLO 2021-2A D Ltd., 4.434%, (US0003M + 3.250%), 07/25/2034 | | | 2,746,830 | | | | 0.1 |
| 4,000,000 | | | (2) | | TES 2017-2A B LLC, 6.990%, 02/20/2048 | | | 3,694,543 | | | | 0.2 |
| 3,450,000 | | | (2) | | TES LLC 2017-1A B, 7.740%, 10/20/2047 | | | 3,341,357 | | | | 0.2 |
| 2,000,000 | | | (2) | | THL Credit Wind River 2014-1 CRR CLO Ltd., 2.994%, (US0003M + 1.950%), 07/18/2031 | | | 1,873,236 | | | | 0.1 |
| 2,000,000 | | | (2),(4) | | Towd Point Mortgage Trust 2015-6 M2, 3.750%, 04/25/2055 | | | 1,918,314 | | | | 0.1 |
| 1,500,000 | | | (2) | | Upland CLO Ltd. 2016-1A BR, 2.913%, (US0003M + 1.850%), 04/20/2031 | | | 1,399,682 | | | | 0.1 |
| 955,000 | | | (2) | | Wendy's Funding LLC 2018-1A A2II, 3.884%, 03/15/2048 | | | 903,433 | | | | 0.0 |
| 3,111,000 | | | (2) | | Wendy's Funding LLC 2019-1A A2I, 3.783%, 06/15/2049 | | | 3,001,959 | | | | 0.1 |
| 1,750,000 | | | (2) | | Whetstone Park CLO Ltd. 2021-1A D, 3.963%, (US0003M + 2.900%), 01/20/2035 | | | 1,610,833 | | | | 0.1 |
| | | | | | | | | 236,097,866 | | | | 10.7 |
| | | | | | | | | | | | | |
| | | | | | Student Loan Asset-Backed Securities: 0.9% | | | | | | | |
| 76,115 | | | (2) | | Commonbond Student Loan Trust 2018-CGS C, 4.350%, 02/25/2046 | | | 74,361 | | | | 0.0 |
| 250,884 | | | (2) | | ELFI Graduate Loan Program 2018-A B LLC, 4.000%, 08/25/2042 | | | 247,853 | | | | 0.0 |
| 839,983 | | | (2),(4) | | ELFI Graduate Loan Program 2019-A B LLC, 2.940%, 03/25/2044 | | | 796,806 | | | | 0.0 |
| 1,092,294 | | | (2) | | Laurel Road Prime Student Loan Trust 2018-B BFX, 3.720%, 05/26/2043 | | | 1,080,219 | | | | 0.1 |
| 4,000,000 | | | (2) | | SMB Private Education Loan Trust 2014-A C, 4.500%, 09/15/2045 | | | 3,564,597 | | | | 0.2 |
| 1,000,000 | | | (2) | | SMB Private Education Loan Trust 2017-A B, 3.500%, 06/17/2041 | | | 956,404 | | | | 0.0 |
| 2,250,000 | | | (2),(4) | | SoFi Professional Loan Program 2017-A B LLC, 3.440%, 03/26/2040 | | | 2,197,485 | | | | 0.1 |
| 1,000,000 | | | (2),(4) | | SoFi Professional Loan Program 2017-A C, 4.430%, 03/26/2040 | | | 984,580 | | | | 0.1 |
| 1,000,000 | | | (2),(4) | | SoFi Professional Loan Program 2017-C C, 4.210%, 07/25/2040 | | | 981,723 | | | | 0.0 |
| 1,000,000 | | | (2) | | SoFi Professional Loan Program 2017-E C LLC, 4.160%, 11/26/2040 | | | 975,924 | | | | 0.0 |
| 1,000,000 | | | (2) | | SoFi Professional Loan Program 2018-D BFX Trust, 4.140%, 02/25/2048 | | | 947,426 | | | | 0.0 |
| 2,000,000 | | | (2) | | SoFi Professional Loan Program 2019-B BFX LLC, 3.730%, 08/17/2048 | | | 1,883,115 | | | | 0.1 |
| 3,000,000 | | | (2) | | SoFi Professional Loan Program 2019-C BFX LLC, 3.050%, 11/16/2048 | | | 2,753,529 | | | | 0.1 |
| 4,400,000 | | | (2) | | SoFi Professional Loan Program 2020-B BFX Trust, 2.730%, 05/15/2046 | | | 3,894,692 | | | | 0.2 |
| | | | | | | | | 21,338,714 | | | | 0.9 |
| | | | | | | | | | | | | |
| | | | Total Asset-Backed Securities | | | | | | | |
| | | | (Cost $309,826,599) | | | 291,660,767 | | | | 13.2 |
| | | | | | | | | | | | | |
SOVEREIGN BONDS: 1.8% | | | | | | | |
| 295,921 | | | (7) | | Argentine Republic Government International Bond, 0.500% (Step Rate @ 0.750% on 07/09/2023), 07/09/2030 | | | 70,188 | | | | 0.0 |
| 44,281 | | | | | Argentine Republic Government International Bond, 1.000%, 07/09/2029 | | | 10,180 | | | | 0.0 |
| 674,557 | | | (7) | | Argentine Republic Government International Bond, 1.125% (Step Rate @ 1.500% on 07/09/2022), 07/09/2035 | | | 146,125 | | | | 0.0 |
| 1,700,000 | | | (1) | | Brazilian Government International Bond, 3.875%, 06/12/2030 | | | 1,426,779 | | | | 0.1 |
| 475,000 | | | | | Brazilian Government International Bond, 6.000%, 04/07/2026 | | | 491,435 | | | | 0.0 |
| 2,425,000 | | | | | Colombia Government International Bond, 3.250%, 04/22/2032 | | | 1,758,333 | | | | 0.1 |
| 200,000 | | | (1) | | Colombia Government International Bond, 3.875%, 04/25/2027 | | | 177,198 | | | | 0.0 |
| 1,000,000 | | | | | Colombia Government International Bond, 5.200%, 05/15/2049 | | | 680,799 | | | | 0.0 |
EUR | 1,875,000 | | | | | Croatia Government International Bond, 1.125%, 06/19/2029 | | | 1,703,492 | | | | 0.1 |
| 2,000,000 | | | (2) | | Dominican Republic International Bond, 4.500%, 01/30/2030 | | | 1,611,136 | | | | 0.1 |
| 500,000 | | | | | Dominican Republic International Bond, 6.000%, 07/19/2028 | | | 466,250 | | | | 0.0 |
| 2,800,000 | | | (2) | | Dominican Republic International Bond, 6.000%, 02/22/2033 | | | 2,339,565 | | | | 0.1 |
| 700,000 | | | (2) | | Egypt Government International Bond, 5.875%, 02/16/2031 | | | 436,859 | | | | 0.0 |
| 1,850,000 | | | (1) | | Egypt Government International Bond, 7.500%, 01/31/2027 | | | 1,447,588 | | | | 0.1 |
| 950,000 | | | (2) | | Egypt Government International Bond, 7.625%, 05/29/2032 | | | 624,829 | | | | 0.0 |
| 400,000 | | | (2) | | Egypt Government International Bond, 8.750%, 09/30/2051 | | | 242,077 | | | | 0.0 |
| 1,000,000 | | | | | Export-Import Bank of India, 2.250%, 01/13/2031 | | | 788,684 | | | | 0.0 |
| 1,400,000 | | | (2) | | Export-Import Bank of India, 3.250%, 01/15/2030 | | | 1,219,153 | | | | 0.1 |
| 1,500,000 | | | (2) | | Hungary Government International Bond, 5.250%, 06/16/2029 | | | 1,498,425 | | | | 0.1 |
| 1,001,841 | | | | | Ivory Coast Government International Bond, 5.750%, 12/31/2032 | | | 871,001 | | | | 0.0 |
| 1,275,000 | | | (2) | | Jordan Government International Bond, 5.850%, 07/07/2030 | | | 1,013,396 | | | | 0.0 |
| 650,000 | | | | | Jordan Government International Bond, 6.125%, 01/29/2026 | | | 596,374 | | | | 0.0 |
| 750,000 | | | (2) | | Malaysia Wakala Sukuk Bhd, 2.070%, 04/28/2031 | | | 666,748 | | | | 0.0 |
| 1,200,000 | | | (1) | | Mexico Government International Bond, 3.250%, 04/16/2030 | | | 1,058,968 | | | | 0.1 |
| 700,000 | | | | | Mexico Government International Bond, 3.750%, 04/19/2071 | | | 447,104 | | | | 0.0 |
| 1,600,000 | | | | | Mexico Government International Bond, 4.500%, 04/22/2029 | | | 1,556,772 | | | | 0.1 |
| 600,000 | | | | | Oman Government International Bond, 6.000%, 08/01/2029 | | | 579,422 | | | | 0.0 |
| 500,000 | | | (2) | | Oman Government International Bond, 6.750%, 10/28/2027 | | | 510,999 | | | | 0.0 |
| 1,300,000 | | | (2) | | Oman Government International Bond, 7.375%, 10/28/2032 | | | 1,346,961 | | | | 0.1 |
| 600,000 | | | (1) | | Panama Government International Bond, 3.160%, 01/23/2030 | | | 534,276 | | | | 0.0 |
| 1,200,000 | | | (1) | | Panama Government International Bond, 3.298%, 01/19/2033 | | | 1,028,170 | | | | 0.1 |
| 5,750,000 | | | (1) | | Republic of South Africa Government International Bond, 4.850%, 09/30/2029 | | | 4,926,140 | | | | 0.2 |
| 1,360,000 | | | (2) | | Romanian Government International Bond, 3.000%, 02/14/2031 | | | 1,051,566 | | | | 0.1 |
| 1,800,000 | | | (2) | | Romanian Government International Bond, 3.625%, 03/27/2032 | | | 1,417,707 | | | | 0.1 |
| 800,000 | | | | | Russian Foreign Bond - Eurobond, 4.375%, 03/21/2029 | | | 220,000 | | | | 0.0 |
| 1,300,000 | | | | | South Africa Government International Bond, 5.875%, 09/16/2025 | | | 1,290,497 | | | | 0.1 |
| 500,000 | | | | | Turkey Government International Bond, 4.875%, 10/09/2026 | | | 401,906 | | | | 0.0 |
| 1,100,000 | | | | | Turkey Government International Bond, 5.600%, 11/14/2024 | | | 990,748 | | | | 0.0 |
| 500,000 | | | | | Turkey Government International Bond, 6.375%, 10/14/2025 | | | 444,210 | | | | 0.0 |
| 550,000 | | | | | Turkey Government International Bond, 7.375%, 02/05/2025 | | | 512,617 | | | | 0.0 |
| 450,000 | | | | | Ukraine Government International Bond, 7.375%, 09/25/2032 | | | 113,625 | | | | 0.0 |
| 975,000 | | | | | Ukraine Government International Bond, 7.750%, 09/01/2023 | | | 316,875 | | | | 0.0 |
| 4,550,000 | | | | | Ukraine Government International Bond, 7.750%, 09/01/2025 | | | 1,160,250 | | | | 0.1 |
| | | | | | | | | | | | | |
| | | | Total Sovereign Bonds | | | | | | | |
| | | | (Cost $53,001,172) | | | 40,195,427 | | | | 1.8 |
| | | | | | | | | | | | | |
BANK LOANS: 12.7% | | | | | | | |
| | | | | | Aerospace & Defense: 0.3% | | | | | | | |
| 536,750 | | | | | ADS Tactical, Inc. 2021 Term Loan B, 7.345%, (US0001M + 5.750%), 03/19/2026 | | | 493,810 | | | | 0.0 |
| 95,000 | | | | | Amentum Government Services Holdings LLC 2022 Term Loan, 5.163%, (SOFRRATE + 4.000%), 02/15/2029 | | | 90,606 | | | | 0.0 |
| 1,029,686 | | | | | American Airlines, Inc. 2018 Term Loan B, 3.374%, (US0001M + 1.750%), 06/27/2025 | | | 916,421 | | | | 0.1 |
| 791,645 | | | | | Geo Group, Inc. (The) 2018 Term Loan B, 3.670%, (US0001M + 2.000%), 03/22/2024 | | | 745,074 | | | | 0.1 |
| 490,618 | | | | | KBR, Inc. 2020 Term Loan B, 4.416%, (US0001M + 2.750%), 02/05/2027 | | | 488,369 | | | | 0.0 |
| 2,005,952 | | | | | Peraton Corp. Term Loan B, 5.416%, (US0001M + 3.750%), 02/01/2028 | | | 1,889,356 | | | | 0.1 |
| 695,000 | | | | | Setanta Aircraft Leasing Designated Activity Compa Term Loan B, 4.250%, (US0003M + 2.000%), 11/05/2028 | | | 663,204 | | | | 0.0 |
| 359,100 | | | | | Vertex Aerospace Services Corp. 2021 First Lien Term Loan, 5.666%, (US0001M + 4.000%), 12/06/2028 | | | 344,512 | | | | 0.0 |
| | | | | | | | | 5,631,352 | | | | 0.3 |
| | | | | | | | | | | | | |
| | | | | | Air Transport: 0.0% | | | | | | | |
| 496,231 | | | | | United Airlines, Inc. 2021 Term Loan B, 5.392%, (US0001M + 3.750%), 04/21/2028 | | | 461,743 | | | | 0.0 |
| | | | | | | | | | | | | |
| | | | | | Auto Components: 0.0% | | | | | | | |
| 619,457 | | | | | Broadstreet Partners, Inc. 2020 Term Loan B, 4.666%, (US0001M + 3.000%), 01/27/2027 | | | 589,812 | | | | 0.0 |
| | | | | | | | | | | | | |
| | | | | | Automotive: 0.5% | | | | | | | |
| 868,438 | | | | | Autokiniton US Holdings, Inc. 2021 Term Loan B, 5.620%, (US0003M + 4.500%), 04/06/2028 | | | 805,476 | | | | 0.0 |
| 1,192,013 | | | | | Avis Budget Car Rental, LLC 2022 Term Loan C, 5.125%, (SOFRRATE + 3.500%), 03/16/2029 | | | 1,144,332 | | | | 0.1 |
| 400,000 | | | | | Bright Bidco B.V. 2018 Term Loan B, 6.435%, (US0006M + 3.500%), 06/30/2024 | | | 176,000 | | | | 0.0 |
| 905,989 | | | | | Dealer Tire, LLC 2020 Term Loan B, 5.916%, (US0001M + 4.250%), 12/12/2025 | | | 868,051 | | | | 0.1 |
| 894,370 | | | | | Gates Global LLC 2021 Term Loan B3, 4.166%, (US0001M + 2.500%), 03/31/2027 | | | 846,297 | | | | 0.0 |
| 692,276 | | | | | Hertz Corporation, (The) 2021 Term Loan B, 4.920%, (US0001M + 3.250%), 06/30/2028 | | | 653,163 | | | | 0.0 |
| 131,785 | | | | | Hertz Corporation, (The) 2021 Term Loan C, 4.920%, (US0001M + 3.250%), 06/30/2028 | | | 124,339 | | | | 0.0 |
| 541,761 | | | | | Holley Purchaser, Inc. 2021 Term Loan, 5.205%, (US0003M + 3.750%), 11/17/2028 | | | 514,673 | | | | 0.0 |
| 949,188 | | | | | Les Schwab Tire Centers Term Loan B, 4.000%, (US0003M + 3.250%), 11/02/2027 | | | 893,027 | | | | 0.1 |
| 738,816 | | | | | Mister Car Wash Holdings, Inc. 2019 Term Loan B, 4.666%, (US0001M + 3.000%), 05/14/2026 | | | 701,182 | | | | 0.0 |
| 285,000 | | | | | Rough Country, LLC 2021 2nd Lien Term Loan, 8.750%, (US0003M + 6.500%), 07/26/2029 | | | 274,313 | | | | 0.0 |
| 325,875 | | | | | Rough Country, LLC 2021 Term Loan, 5.750%, (US0003M + 3.500%), 07/28/2028 | | | 312,840 | | | | 0.0 |
| 150,000 | | | | | Superior Industries International, Inc. 2018 1st Lien Term Loan B, 6.285%, (US0003M + 4.000%), 05/22/2024 | | | 144,375 | | | | 0.0 |
| 595,373 | | | | | Tenneco, Inc. 2018 Term Loan B, 4.666%, (US0001M + 3.000%), 10/01/2025 | | | 573,046 | | | | 0.0 |
| 243,753 | | | | | TI Group Automotive Systems, L.L.C. 2021 USD Term Loan, 5.500%, (US0003M + 3.250%), 12/16/2026 | | | 234,003 | | | | 0.0 |
| 1,115,875 | | | | | Truck Hero, Inc. 2021 Term Loan B, 5.166%, (US0001M + 3.500%), 01/31/2028 | | | 1,002,614 | | | | 0.1 |
| 1,228,705 | | | | | Wand NewCo 3, Inc. 2020 Term Loan, 4.666%, (US0001M + 3.000%), 02/05/2026 | | | 1,144,615 | | | | 0.1 |
| 764,903 | | | | | Wheel Pros, LLC 2021 Term Loan, 6.095%, (US0001M + 4.500%), 05/11/2028 | | | 634,870 | | | | 0.0 |
| | | | | | | | | 11,047,216 | | | | 0.5 |
| | | | | | | | | | | | | |
| | | | | | Basic Materials: 0.0% | | | | | | | |
| 650,000 | | | | | Iris Holding, Inc. 2022 Term Loan 1L, 6.676%, (TSFR1M + 4.750%), 06/15/2029 | | | 595,291 | | | | 0.0 |
| | | | | | | | | | | | | |
| | | | | | Beverage & Tobacco: 0.1% | | | | | | | |
| 750,000 | | | | | Aramark Services, Inc. 2019 Term Loan B4, 3.416%, (US0001M + 1.750%), 01/15/2027 | | | 712,813 | | | | 0.0 |
| 2,082 | | | | | City Brewing Company, LLC Closing Date Term Loan, 4.469%, (US0001M + 3.500%), 04/05/2028 | | | 1,858 | | | | 0.0 |
| 465,000 | | | | | Naked Juice LLC Term Loan, 5.403%, (SOFRRATE + 3.250%), 01/24/2029 | | | 431,724 | | | | 0.0 |
| 424,098 | | | | | Sunshine Investments B.V. USD Term Loan B3, 4.194%, (US0003M + 2.750%), 03/28/2025 | | | 417,736 | | | | 0.0 |
| 972,143 | | | | | Triton Water Holdings, Inc Term Loan, 5.750%, (US0003M + 3.500%), 03/31/2028 | | | 868,447 | | | | 0.1 |
| | | | | | | | | 2,432,578 | | | | 0.1 |
| | | | | | | | | | | | | |
| | | | | | Building & Development: 0.6% | | | | | | | |
| 248,125 | | | | | Aegion Corporation Term Loan, 6.273%, (US0001M + 4.750%), 05/17/2028 | | | 227,654 | | | | 0.0 |
| 496,183 | | | | | American Builders & Contractors Supply Co., Inc. 2019 Term Loan, 3.652%, (US0001M + 2.000%), 01/15/2027 | | | 469,927 | | | | 0.0 |
| 1,142,138 | | | | | Chamberlain Group Inc Term Loan B, 4.506%, (US0001M + 3.500%), 11/03/2028 | | | 1,041,249 | | | | 0.1 |
| 846,028 | | | | | Core & Main LP 2021 Term Loan B, 4.124%, (US0001M + 2.500%), 07/27/2028 | | | 806,899 | | | | 0.1 |
| 742,481 | | | | | Cornerstone Building Brands, Inc. 2021 Term Loan B, 4.574%, (US0001M + 3.250%), 04/12/2028 | | | 619,508 | | | | 0.0 |
| 672,242 | | | | | CP Atlas Buyer, Inc. 2021 Term Loan B, 5.416%, (US0001M + 3.750%), 11/23/2027 | | | 590,901 | | | | 0.0 |
| 763,321 | | | | | Empire Today, LLC 2021 Term Loan, 5.750%, (US0003M + 5.000%), 04/03/2028 | | | 596,663 | | | | 0.0 |
| 668,325 | | | | | Foley Products Company, LLC 2021 Term Loan, 6.954%, (SOFRRATE + 4.750%), 12/29/2028 | | | 634,909 | | | | 0.1 |
| 559,350 | | | | | Foundation Building Materials Holding Company LLC 2021 Term Loan, 4.489%, (US0003M + 3.250%), 01/31/2028 | | | 502,716 | | | | 0.0 |
| 80,000 | | | | | IPS Corporation 2021 Delayed Draw Term Loan, 5.785%, (US0003M + 3.500%), 10/02/2028 | | | 73,867 | | | | 0.0 |
| 399,000 | | | | | IPS Corporation 2021 Term Loan, 5.166%, (US0001M + 3.500%), 10/02/2028 | | | 368,410 | | | | 0.0 |
| 495,000 | | | | | Latham Pool Products, Inc. 2022 Term Loan B, 4.540%, (SOFRRATE + 3.750%), 02/23/2029 | | | 477,056 | | | | 0.0 |
| 993,134 | | | | | LBM Acquisition LLC Term Loan B, 5.416%, (US0001M + 3.750%), 12/17/2027 | | | 819,542 | | | | 0.1 |
| 640,250 | | | | | LEB Holdings (USA), Inc Term Loan B, 5.416%, (US0001M + 3.750%), 11/02/2027 | | | 628,245 | | | | 0.0 |
| 620,656 | | | | | Northstar Group Services, INC. 2020 Term Loan B, 7.166%, (US0001M + 5.500%), 11/12/2026 | | | 598,157 | | | | 0.0 |
| 525,000 | | | | | Smyrna Ready Mix Concrete, LLC Term Loan B, 5.875%, (TSFR1M + 4.250%), 04/02/2029 | | | 485,625 | | | | 0.0 |
| 563,588 | | | | | Specialty Building Products Holdings, LLC 2021 Term Loan B, 5.345%, (US0001M + 3.750%), 10/15/2028 | | | 501,593 | | | | 0.0 |
| 531,504 | | | | | SRS Distribution Inc. 2021 Term Loan B, 4.250%, (US0003M + 3.500%), 06/02/2028 | | | 488,984 | | | | 0.0 |
| 955,110 | | | | | Standard Industries Inc. 2021 Term Loan B, 3.788%, (US0006M + 2.500%), 09/22/2028 | | | 926,987 | | | | 0.1 |
| 1,303,857 | | | | | White Cap Buyer LLC Term Loan B, 5.275%, (SOFRRATE + 3.750%), 10/19/2027 | | | 1,201,993 | | | | 0.1 |
| | | | | | | | | 12,060,885 | | | | 0.6 |
| | | | | | | | | | | | | |
| | | | | | Business Equipment & Services: 1.2% | | | | | | | |
| 401,869 | | | | | 24-7 Intouch Inc 2018 Term Loan, 6.416%, (US0001M + 4.750%), 08/25/2025 | | | 383,784 | | | | 0.0 |
| 966,459 | | | | | AlixPartners, LLP 2021 USD Term Loan B, 4.416%, (US0001M + 2.750%), 02/04/2028 | | | 919,345 | | | | 0.1 |
| 774,150 | | | | | Allied Universal Holdco LLC 2021 USD Incremental Term Loan B, 5.416%, (US0001M + 3.750%), 05/12/2028 | | | 712,863 | | | | 0.0 |
| 588,525 | | | | | Anticimex International AB 2021 USD Incremental Term Loan, 5.598%, (US0003M + 4.000%), 11/16/2028 | | | 560,570 | | | | 0.0 |
| 638 | | | | | Anticimex International AB 2021 USD Term Loan B1, 5.098%, (US0003M + 3.500%), 11/16/2028 | | | 603 | | | | 0.0 |
| 914,153 | | | | | APX Group, Inc. 2021 Term Loan B, 5.016%, (US0001M + 3.500%), 07/10/2028 | | | 865,589 | | | | 0.1 |
| 771,125 | | | | | Ascend Learning, LLC 2021 Term Loan, 5.166%, (US0001M + 3.500%), 12/11/2028 | | | 715,218 | | | | 0.0 |
| 428,872 | | | | | Atlas CC Acquisition Corp Term Loan B, 5.825%, (US0003M + 4.250%), 05/25/2028 | | | 397,779 | | | | 0.0 |
| 87,228 | | | | | Atlas CC Acquisition Corp Term Loan C, 5.825%, (US0003M + 4.250%), 05/25/2028 | | | 80,904 | | | | 0.0 |
| 785,000 | | | | | Belfor Holdings Inc. 2022 Incremental Term Loan, 5.775%, (SOFRRATE + 4.250%), 04/06/2026 | | | 761,450 | | | | 0.1 |
| 439,338 | | | | | Belfor Holdings Inc. Term Loan B, 5.416%, (US0001M + 3.750%), 04/06/2026 | | | 426,158 | | | | 0.0 |
| 460,156 | | | | | Castle US Holding Corporation 2021 Incremental Term Loan B, 5.666%, (US0001M + 4.000%), 01/29/2027 | | | 404,938 | | | | 0.0 |
| 430,650 | | | | | Cimpress Public Limited Company USD Term Loan B, 5.166%, (US0001M + 3.500%), 05/17/2028 | | | 399,428 | | | | 0.0 |
| 160,000 | | | | | DG Investment Intermediate Holdings 2, Inc. 2021 2nd Lien Term Loan, 8.416%, (US0001M + 6.750%), 03/30/2029 | | | 153,200 | | | | 0.0 |
| 806,862 | | | | | DG Investment Intermediate Holdings 2, Inc. 2021 Term Loan, 5.416%, (US0001M + 3.750%), 03/31/2028 | | | 757,105 | | | | 0.0 |
| 928,825 | | | | | Endure Digital Inc. Term Loan, 4.620%, (US0001M + 3.500%), 02/10/2028 | | | 840,587 | | | | 0.1 |
| 853,550 | | | | | Ensono, LP 2021 Term Loan, 5.666%, (US0001M + 4.000%), 05/26/2028 | | | 792,379 | | | | 0.1 |
| 229,425 | | | | | EP Purchaser, LLC 2021 Term Loan B, 5.750%, (US0003M + 3.500%), 11/06/2028 | | | 219,531 | | | | 0.0 |
| 285,000 | | | | | Escape Velocity Acquisition, Inc. 2021 Term Loan, 6.500%, (US0003M + 4.250%), 10/08/2028 | | | 272,175 | | | | 0.0 |
| 805,111 | | | | | Finastra USA, Inc. USD 1st Lien Term Loan, 4.739%, (US0003M + 3.500%), 06/13/2024 | | | 726,863 | | | | 0.0 |
| 220,984 | | | | | First Advantage Holdings, LLC 2021 Term Loan B, 4.416%, (US0001M + 2.750%), 01/31/2027 | | | 212,503 | | | | 0.0 |
| 247,502 | | | | | Fleetcor Technologies Operating Company, LLC 2021 Term Loan B4, 3.416%, (US0001M + 1.750%), 04/28/2028 | | | 238,861 | | | | 0.0 |
| 542,790 | | | | | Gainwell Acquisition Corp. Term Loan B, 6.250%, (US0003M + 4.000%), 10/01/2027 | | | 516,329 | | | | 0.0 |
| 796,949 | | | | | Gloves Buyer, Inc. 2021 Term Loan, 5.666%, (US0001M + 4.000%), 12/29/2027 | | | 741,163 | | | | 0.0 |
| 785,275 | | | | | Intrado Corporation 2017 Term Loan, 5.666%, (US0001M + 4.000%), 10/10/2024 | | | 670,429 | | | | 0.0 |
| 554,400 | | | | | ION Trading Finance Limited 2021 USD Term Loan, 7.000%, (US0003M + 4.750%), 04/03/2028 | | | 512,993 | | | | 0.0 |
| 730,027 | | | | | KUEHG Corp. 2018 Incremental Term Loan, 6.000%, (US0003M + 3.750%), 02/21/2025 | | | 682,119 | | | | 0.0 |
| 462,277 | | | | | Paysafe Holdings (US) Corp USD Term Loan B1, 4.416%, (US0001M + 2.750%), 06/28/2028 | | | 422,983 | | | | 0.0 |
| 218,900 | | | | | PECF USS Intermediate Holding III Corporation Term Loan B, 5.916%, (US0001M + 4.250%), 12/15/2028 | | | 198,488 | | | | 0.0 |
| 1,250,550 | | | | | Polaris Newco LLC USD Term Loan B, 5.666%, (US0001M + 4.000%), 06/02/2028 | | | 1,158,517 | | | | 0.1 |
| 75,000 | | | | | Pre-Paid Legal Services, Inc. 2021 2nd Lien Term Loan, 8.666%, (US0001M + 7.000%), 12/14/2029 | | | 70,875 | | | | 0.0 |
| 952,613 | | | | | Pre-Paid Legal Services, Inc. 2021 Term Loan, 5.416%, (US0001M + 3.750%), 12/15/2028 | | | 891,586 | | | | 0.1 |
| 274,041 | | | | | Red Ventures, LLC 2020 Term Loan B2, 4.166%, (US0001M + 2.500%), 11/08/2024 | | | 262,189 | | | | 0.0 |
| 35,550 | | | (11) | | Refficiency Holdings LLC 2021 Delayed Draw Term Loan, 5.416%, (US0001M + 3.750%), 12/16/2027 | | | 33,417 | | | | 0.0 |
| 182,125 | | | | | Refficiency Holdings LLC 2021 Term Loan, 5.416%, (US0001M + 3.750%), 12/16/2027 | | | 171,197 | | | | 0.0 |
| 50,000 | | | | | Renaissance Holding Corp. 2022 Incremental Term Loan, 5.581%, (SOFRRATE + 4.500%), 03/30/2029 | | | 47,917 | | | | 0.0 |
| 997,396 | | | | | Research Now Group, Inc. 2017 1st Lien Term Loan, 6.500%, (US0006M + 5.500%), 12/20/2024 | | | 920,098 | | | | 0.1 |
| 376,089 | | | | | Rockwood Service Corporation 2020 Term Loan, 5.916%, (US0001M + 4.250%), 01/23/2027 | | | 363,396 | | | | 0.0 |
| 750,000 | | | | | Sandvine Corporation 2018 1st Lien Term Loan, 6.166%, (US0001M + 4.500%), 10/31/2025 | | | 720,000 | | | | 0.0 |
| 65,082 | | | (11) | | Service Logic Acquisition, Inc Delayed Draw Term Loan, 5.437%, (US0003M + 4.000%), 10/29/2027 | | | 61,991 | | | | 0.0 |
| 784,469 | | | | | Service Logic Acquisition, Inc Term Loan, 5.238%, (US0003M + 4.000%), 10/29/2027 | | | 747,207 | | | | 0.0 |
| 1,151,300 | | | | | Skopima Merger Sub Inc. Term Loan B, 5.666%, (US0001M + 4.000%), 05/12/2028 | | | 1,064,953 | | | | 0.1 |
| 1,030,121 | | | | | Staples, Inc. 7 Year Term Loan, 6.286%, (US0003M + 5.000%), 04/16/2026 | | | 902,275 | | | | 0.1 |
| 1,100,000 | | | | | Turing Midco LLC 2021 Term Loan B, 4.416%, (US0001M + 2.750%), 03/23/2028 | | | 1,058,407 | | | | 0.1 |
| 977,203 | | | | | Verscend Holding Corp. 2021 Term Loan B, 5.666%, (US0001M + 4.000%), 08/27/2025 | | | 937,301 | | | | 0.1 |
| 776,425 | | | | | Virtusa Corporation First Lien Term Loan B, 5.416%, (US0001M + 3.750%), 02/11/2028 | | | 734,692 | | | | 0.0 |
| 468,860 | | | | | VM Consolidated, Inc. 2021 Term Loan B, 6.125%, (US0006M + 3.250%), 03/24/2028 | | | 446,590 | | | | 0.0 |
| 8,975 | | | (11) | | VT Topco, Inc. 2021 Delayed Draw Term Loan, 5.973%, (US0003M + 3.750%), 08/01/2025 | | | 8,593 | | | | 0.0 |
| 135,063 | | | | | VT Topco, Inc. 2021 Incremental Term Loan, 5.416%, (US0001M + 3.750%), 08/01/2025 | | | 129,323 | | | | 0.0 |
| 565,725 | | | | | Waterlogic Holdings Limited 2021 USD Term Loan B2, 6.416%, (US0001M + 4.750%), 08/04/2028 | | | 548,753 | | | | 0.0 |
| 332,687 | | | | | Yak Access, LLC 2018 1st Lien Term Loan B, 6.576%, (US0003M + 5.000%), 07/11/2025 | | | 232,673 | | | | 0.0 |
| 208,333 | | | | | Yak Access, LLC 2018 2nd Lien Term Loan B, 12.185%, (US0003M + 10.000%), 07/10/2026 | | | 111,458 | | | | 0.0 |
| | | | | | | | | 26,209,745 | | | | 1.2 |
| | | | | | | | | | | | | |
| | | | | | Cable & Satellite Television: 0.3% | | | | | | | |
| 583,538 | | | | | Atlantic Broadband Finance, LLC 2021 Term Loan, 4.166%, (US0001M + 2.500%), 09/01/2028 | | | 556,841 | | | | 0.0 |
| 218,108 | | | | | CSC Holdings, LLC 2019 Term Loan B5, 3.824%, (US0001M + 2.500%), 04/15/2027 | | | 203,454 | | | | 0.0 |
| 1,014,448 | | | | | DirecTV Financing, LLC Term Loan, 6.666%, (US0001M + 5.000%), 08/02/2027 | | | 938,182 | | | | 0.1 |
| 998,728 | | | | | Radiate Holdco, LLC 2021 Term Loan B, 4.916%, (US0001M + 3.250%), 09/25/2026 | | | 927,569 | | | | 0.0 |
| 2,147,551 | | | | | Telesat Canada Term Loan B5, 4.420%, (US0001M + 2.750%), 12/07/2026 | | | 1,535,499 | | | | 0.1 |
| 1,250,000 | | | | | UPC Financing Partnership 2021 USD Term Loan AX, 4.324%, (US0001M + 3.000%), 01/31/2029 | | | 1,186,459 | | | | 0.1 |
| 900,000 | | | | | Virgin Media Bristol LLC 2020 USD Term Loan Q, 4.574%, (US0001M + 3.250%), 01/31/2029 | | | 862,875 | | | | 0.0 |
| 333,325 | | | | | WideOpenWest Finance LLC 2021 Term Loan B, 4.509%, (SOFRRATE + 3.000%), 12/20/2028 | | | 322,214 | | | | 0.0 |
| | | | | | | | | 6,533,093 | | | | 0.3 |
| | | | | | | | | | | | | |
| | | | | | Chemicals & Plastics: 0.4% | | | | | | | |
| 299,002 | | | | | Avantor Funding, Inc. 2021 Term Loan B5, 3.916%, (US0001M + 2.250%), 11/08/2027 | | | 287,291 | | | | 0.0 |
| 494,076 | | | | | Axalta Coating Systems US Holdings Inc. USD Term Loan B3, 4.000%, (US0003M + 1.750%), 06/01/2024 | | | 483,948 | | | | 0.0 |
| 115,000 | | | | | CPC Acquisition Corp Second Lien Term Loan, 10.000%, (US0003M + 7.750%), 12/29/2028 | | | 102,494 | | | | 0.0 |
| 471,438 | | | | | GEON Performance Solutions, LLC 2021 Term Loan, 6.166%, (US0001M + 4.500%), 08/18/2028 | | | 448,160 | | | | 0.0 |
| 1,060,000 | | | | | Hexion Holdings Corporation 2022 USD Term Loan, 5.924%, (SOFRRATE + 4.500%), 03/15/2029 | | | 953,337 | | | | 0.1 |
305,000 | | | | Hexion Inc 2022 2nd Lien Term Loan, 8.871%, (SOFRRATE + 7.438%), 03/15/2030 | | 269,925 | | 0.0 |
1,057,621 | | | | INEOS Styrolution US Holding LLC 2021 USD Term Loan B, 4.416%, (US0001M + 2.750%), 01/29/2026 | | 1,000,774 | | 0.1 |
548,625 | | | | Ineos US Finance LLC 2021 USD Term Loan B, 4.166%, (US0001M + 2.500%), 11/08/2028 | | 521,880 | | 0.0 |
287,109 | | | | Lonza Group AG USD Term Loan B, 6.250%, (US0003M + 4.000%), 07/03/2028 | | 257,967 | | 0.0 |
827,925 | | | | LSF11 A5 Holdco LLC Term Loan, 5.140%, (SOFRRATE + 3.500%), 10/15/2028 | | 776,956 | | 0.1 |
763,088 | | | | Olympus Water US Holding Corporation 2021 USD Term Loan B, 5.982%, (US0003M + 3.750%), 11/09/2028 | | 713,010 | | 0.0 |
145,000 | | | | Olympus Water US Holding Corporation 2022 Incremental Term Loan, 6.554%, (TSFR1M + 4.500%), 11/09/2028 | | 136,300 | | 0.0 |
608,836 | | | | Polar US Borrower, LLC 2018 1st Lien Term Loan, 6.004%, (US0003M + 4.750%), 10/15/2025 | | 558,607 | | 0.0 |
590,269 | | | | PQ Corporation 2021 Term Loan B, 3.739%, (US0003M + 2.500%), 06/09/2028 | | 565,367 | | 0.0 |
522,375 | | | | Sparta U.S. HoldCo LLC 2021 Term Loan, 4.620%, (US0001M + 3.250%), 08/02/2028 | | 497,562 | | 0.0 |
204,257 | | | | Tronox Finance LLC 2021 Term Loan B, 4.402%, (US0003M + 2.250%), 03/10/2028 | | 195,002 | | 0.0 |
997,500 | | | | Tronox Finance LLC 2022 Term Loan, 5.304%, (SOFRRATE + 3.250%), 04/04/2029 | | 960,094 | | 0.1 |
| | | | | | 8,728,674 | | 0.4 |
| | | | | | | | |
| | | | Clothing/Textiles: 0.0% | | | | |
540,000 | | | | ABG Intermediate Holdings 2 LLC 2021 Term Loan B1, 5.275%, (SOFRRATE + 3.750%), 12/21/2028 | | 506,250 | | 0.0 |
337,450 | | | | Birkenstock GmbH & Co. KG USD Term Loan B, 5.098%, (US0006M + 3.250%), 04/28/2028 | | 309,610 | | 0.0 |
55,000 | | | | Crocs Inc Term Loan B, 4.448%, (SOFRRATE + 3.500%), 02/20/2029 | | 50,628 | | 0.0 |
| | | | | | 866,488 | | 0.0 |
| | | | | | | | |
| | | | Communications: 0.1% | | | | |
1,180,000 | | | | Maxar Technologies, Inc. 2022 Term Loan B 1L, 6.176%, (TSFR1M + 4.250%), 06/14/2029 | | 1,117,313 | | 0.1 |
| | | | | | | | |
| | | | Conglomerates: 0.0% | | | | |
263,758 | | | | Fender Musical Instruments Corporation 2021 Term Loan B, 5.226%, (SOFRRATE + 4.000%), 12/01/2028 | | 249,251 | | 0.0 |
| | | | | | | | |
| | | | Consumer, Cyclical: 0.0% | | | | |
82,733 | | | | Holley, Inc. Term Loan 1L, 6.035%, (US0003M + 3.750%), 12/31/2028 | | 78,596 | | 0.0 |
195,000 | | | | Peloton Interactive, Inc. 2022 TL 1L, 8.426%, (TSFR1M + 6.500%), 05/17/2027 | | 189,638 | | 0.0 |
260,000 | | | | Penn National Gaming, Inc. 2022 Term Loan B 1L, 4.676%, (TSFR1M + 2.750%), 05/03/2029 | | 250,169 | | 0.0 |
| | | | | | 518,403 | | 0.0 |
| | | | | | | | |
| | | | Consumer, Non-cyclical: 0.1% | | | | |
1,065,000 | | | | Bausch & Lomb 2022 TL B 1L, 5.176%, (TSFR1M + 3.250%), 05/10/2027 | | 991,560 | | 0.1 |
300,000 | | | | Galaxy US Opco, Inc. 2022 Term Loan B 1L, 6.676%, (TSFR1M + 4.750%), 04/06/2029 | | 281,250 | | 0.0 |
675,000 | | | | Refresco / Pegasus 2022 TL B 1L, 6.176%, (TSFR1M + 4.250%), 05/05/2029 | | 641,812 | | 0.0 |
| | | | | | 1,914,622 | | 0.1 |
| | | | | | | | |
| | | | Containers & Glass Products: 0.5% | | | | |
147,686 | | | | Albea Beauty Holdings S.A 2018 USD Term Loan B2, 5.250%, (US0003M + 3.000%), 04/22/2024 | | 132,918 | | 0.0 |
637,516 | | | | Altium Packaging LLC 2021 Term Loan B, 4.416%, (US0001M + 2.750%), 02/03/2028 | | 592,624 | | 0.1 |
1,047,581 | | | | Charter NEX US, Inc. 2021 Term Loan, 5.416%, (US0001M + 3.750%), 12/01/2027 | | 989,702 | | 0.1 |
630,000 | | | | Clydesdale Acquisition Holdings Inc Term Loan, 5.875%, (TSFR1M + 4.250%), 04/13/2029 | | 592,528 | | 0.1 |
550,385 | | | | Plastipak Packaging, Inc. 2021 Term Loan B, 4.188%, (US0001M + 2.500%), 12/01/2028 | | 529,058 | | 0.0 |
488,109 | | | | Plaze, Inc. 2020 Incremental Term Loan, 5.421%, (US0001M + 3.750%), 08/03/2026 | | 453,941 | | 0.0 |
641,775 | | | | Pretium PKG Holdings, Inc. 2021 1st Lien Term Loan, 5.044%, (US0003M + 4.000%), 10/02/2028 | | 581,341 | | 0.0 |
205,000 | | | | Pretium PKG Holdings, Inc. 2021 2nd Lien Term Loan, 7.793%, (US0003M + 6.750%), 10/01/2029 | | 177,837 | | 0.0 |
168,575 | | (11) | | Pro Mach Group, Inc. 2021 Delayed Draw Term Loan, 5.666%, (US0001M + 4.000%), 08/31/2028 | | 158,953 | | 0.0 |
1,018,735 | | | | Pro Mach Group, Inc. 2021 Term Loan B, 5.666%, (US0001M + 4.000%), 08/31/2028 | | 960,582 | | 0.1 |
1,312,057 | | | | Proampac PG Borrower LLC 2020 Term Loan, 5.186%, (US0003M + 3.750%), 11/03/2025 | | 1,219,393 | | 0.1 |
494,228 | | | | Reynolds Consumer Products LLC Term Loan, 3.416%, (US0001M + 1.750%), 02/04/2027 | | 475,077 | | 0.0 |
537,055 | | | | Reynolds Group Holdings Inc. 2020 Term Loan B2, 4.916%, (US0001M + 3.250%), 02/05/2026 | | 502,594 | | 0.0 |
596,731 | | | | Reynolds Group Holdings Inc. 2021 Term Loan B, 5.166%, (US0001M + 3.500%), 09/24/2028 | | 558,093 | | 0.0 |
652,861 | | | | Tosca Services, LLC 2021 Term Loan, 5.166%, (US0001M + 3.500%), 08/18/2027 | | 587,575 | | 0.0 |
487,538 | | | | TricorBraun Holdings, Inc. 2021 Term Loan, 4.916%, (US0001M + 3.250%), 03/03/2028 | | 454,995 | | 0.0 |
87,883 | | (11) | | Trident TPI Holdings, Inc. 2021 Delayed Draw Term Loan, 6.250%, (US0003M + 4.000%), 09/15/2028 | | 82,610 | | 0.0 |
617,138 | | | | Trident TPI Holdings, Inc. 2021 Incremental Term Loan, 6.250%, (US0003M + 4.000%), 09/15/2028 | | 580,109 | | 0.0 |
430,000 | | | | Valcour Packaging LLC 2021 1st Lien Term Loan, 5.220%, (US0006M + 3.750%), 10/04/2028 | | 405,275 | | 0.0 |
200,000 | | | | Valcour Packaging LLC 2021 2nd Lien Term Loan, 8.470%, (US0003M + 7.000%), 10/04/2029 | | 177,000 | | 0.0 |
| | | | | | 10,212,205 | | 0.5 |
| | | | | | | | |
| | | | Cosmetics/Toiletries: 0.0% | | | | |
495,225 | | | | Anastasia Parent, LLC 2018 Term Loan B, 6.000%, (US0003M + 3.750%), 08/11/2025 | | 398,037 | | 0.0 |
| | | | | | | | |
| | | | Drugs: 0.2% | | | | |
475,000 | | | | Alvogen Pharma US, Inc. 2020 Extended Term Loan, 7.500%, (US0003M + 5.250%), 12/31/2023 | | 418,891 | | 0.0 |
742,225 | | | | Amneal Pharmaceuticals LLC 2018 Term Loan B, 5.497%, (US0001M + 3.500%), 05/04/2025 | | 673,105 | | 0.0 |
303,475 | | | | ANI Pharmaceuticals, Inc Term Loan B, 7.666%, (US0001M + 6.000%), 04/27/2028 | | 292,095 | | 0.0 |
641,341 | | | | Endo Luxembourg Finance Company I S.a r.l. 2021 Term Loan, 6.688%, (US0001M + 5.000%), 03/27/2028 | | 492,229 | | 0.0 |
1,111,002 | | | | Jazz Financing Lux S.a.r.l. USD Term Loan, 5.166%, (US0001M + 3.500%), 05/05/2028 | | 1,061,999 | | 0.1 |
1,053,161 | | | | Organon & Co USD Term Loan, 4.625%, (US0003M + 3.000%), 06/02/2028 | | 1,015,423 | | 0.1 |
| | | | | | 3,953,742 | | 0.2 |
| | | | | | | | |
| | | | Ecological Services & Equipment: 0.0% | | | | |
1,663 | | | | Denali Water Solutions Term Loan B, 6.500%, (US0003M + 4.250%), 03/27/2028 | | 1,521 | | 0.0 |
| | | | | | | | |
| | | | Electronics/Electrical: 1.6% | | | | |
410,000 | | | | Altar Bidco, Inc. 2021 2nd Lien Term Loan, 7.355%, (US0006M + 5.600%), 02/01/2030 | | 372,588 | | 0.0 |
5,000 | | | | Altar Bidco, Inc. 2021 Term Loan, 5.506%, (SOFRRATE + 3.350%), 02/01/2029 | | 4,623 | | 0.0 |
399,925 | | | | AP Core Holdings II, LLC Amortization Term Loan B1, 7.166%, (US0001M + 5.500%), 09/01/2027 | | 377,262 | | 0.0 |
680,000 | | | | AP Core Holdings II, LLC High-Yield Term Loan B2, 7.166%, (US0001M + 5.500%), 09/01/2027 | | 642,316 | | 0.0 |
326,700 | | | | Atlas Purchaser, Inc. 2021 Term Loan, 6.621%, (US0003M + 5.250%), 05/08/2028 | | 271,161 | | 0.0 |
375,000 | | | | Banff Merger Sub Inc 2021 USD 2nd Lien Term Loan, 7.166%, (US0001M + 5.500%), 02/27/2026 | | 349,219 | | 0.0 |
1,245,563 | | | | Banff Merger Sub Inc 2021 USD Term Loan, 5.416%, (US0001M + 3.750%), 10/02/2025 | | 1,160,968 | | 0.1 |
707,283 | | | | Barracuda Networks, Inc. 1st Lien Term Loan, 5.982%, (US0003M + 3.750%), 02/12/2025 | | 702,421 | | 0.1 |
382,946 | | | | CentralSquare Technologies, LLC 2018 1st Lien Term Loan, 6.000%, (US0003M + 3.750%), 08/29/2025 | | 345,609 | | 0.0 |
932,663 | | | | Cloudera, Inc. 2021 Term Loan, 5.416%, (US0001M + 3.750%), 10/08/2028 | | 861,158 | | 0.1 |
129,973 | | | | Cohu, Inc. 2018 Term Loan B, 3.519%, (US0003M + 3.000%), 10/01/2025 | | 128,023 | | 0.0 |
299,250 | | | | ConnectWise, LLC 2021 Term Loan B, 5.750%, (US0003M + 3.500%), 09/29/2028 | | 275,497 | | 0.0 |
695,862 | | | | Constant Contact Inc Term Loan, 5.011%, (US0003M + 4.000%), 02/10/2028 | | 621,927 | | 0.0 |
1,989,963 | | | | CoreLogic, Inc. Term Loan, 5.188%, (US0001M + 3.500%), 06/02/2028 | | 1,653,659 | | 0.1 |
1,341,638 | | | | Cornerstone OnDemand, Inc. 2021 Term Loan, 5.416%, (US0001M + 3.750%), 10/16/2028 | | 1,205,237 | | 0.1 |
485,000 | | | | Creation Technologies Inc. 2021 Term Loan, 6.462%, (US0003M + 5.500%), 10/05/2028 | | 424,375 | | 0.0 |
512,455 | | | | Delta TopCo, Inc. 2020 Term Loan B, 5.836%, (US0003M + 3.750%), 12/01/2027 | | 466,654 | | 0.0 |
744,231 | | | | EagleView Technology Corporation 2018 Add On Term Loan B, 5.750%, (US0003M + 3.500%), 08/14/2025 | | 685,312 | | 0.1 |
415,000 | | | | Entegris, Inc. 2022 Term Loan B, 4.500%, (SOFRRATE + 3.000%), 03/02/2029 | | 402,896 | | 0.0 |
1,303,873 | | | | GoTo Group, Inc. Term Loan B, 6.345%, (US0001M + 4.750%), 08/31/2027 | | 1,023,540 | | 0.1 |
450,000 | | | | Grab Holdings Inc Term Loan B, 5.500%, (US0006M + 4.500%), 01/29/2026 | | 413,437 | | 0.0 |
1,542,366 | | | | Greeneden U.S. Holdings II, LLC 2020 USD Term Loan B4, 5.666%, (US0001M + 4.000%), 12/01/2027 | | 1,478,357 | | 0.1 |
538,571 | | | | Helios Software Holdings, Inc. 2021 USD Term Loan B, 5.954%, (US0003M + 3.750%), 03/11/2028 | | 496,832 | | 0.0 |
1,537,496 | | | | Hyland Software, Inc. 2018 1st Lien Term Loan, 5.166%, (US0001M + 3.500%), 07/01/2024 | | 1,489,449 | | 0.1 |
435,252 | | | | Imperva, Inc. 1st Lien Term Loan, 5.399%, (US0003M + 4.000%), 01/12/2026 | | 391,727 | | 0.0 |
1,012,463 | | | | Informatica LLC 2021 USD Term Loan B, 4.438%, (US0001M + 2.750%), 10/27/2028 | | 963,738 | | 0.1 |
1,196,650 | | | | Ingram Micro Inc. 2021 Term Loan B, 5.750%, (US0003M + 3.500%), 06/30/2028 | | 1,133,826 | | 0.1 |
643,388 | | | | Instructure Holdings 2021 Term Loan B, 3.269%, (US0003M + 2.750%), 10/30/2028 | | 612,827 | | 0.0 |
150,000 | | | | Ivanti Software, Inc. 2021 2nd Lien Term Loan, 8.848%, (US0003M + 7.250%), 12/01/2028 | | 136,875 | | 0.0 |
83,938 | | | | Ivanti Software, Inc. 2021 Add On Term Loan B, 5.611%, (US0001M + 4.000%), 12/01/2027 | | 71,906 | | 0.0 |
1,437,949 | | | | Ivanti Software, Inc. 2021 Term Loan B, 5.848%, (US0003M + 4.250%), 12/01/2027 | | 1,237,834 | | 0.1 |
1,181,550 | | | | Magenta Buyer LLC 2021 USD 1st Lien Term Loan, 6.230%, (US0003M + 5.000%), 07/27/2028 | | 1,067,333 | | 0.1 |
375,000 | | | | Magenta Buyer LLC 2021 USD 2nd Lien Term Loan, 9.480%, (US0003M + 8.250%), 07/27/2029 | | 352,969 | | 0.0 |
264,338 | | | | Mediaocean LLC 2021 Term Loan, 5.166%, (US0001M + 3.500%), 12/15/2028 | | 251,561 | | 0.0 |
405,000 | | | | MH Sub I, LLC 2021 2nd Lien Term Loan, 7.916%, (US0001M + 6.250%), 02/23/2029 | | 384,370 | | 0.0 |
513,713 | | | | Mitchell International, Inc. 2021 Term Loan B, 5.345%, (US0001M + 3.750%), 10/15/2028 | | 467,693 | | 0.0 |
339,703 | | | | ON Semiconductor Corporation 2019 Term Loan B, 3.666%, (US0001M + 2.000%), 09/19/2026 | | 336,810 | | 0.0 |
293,235 | | | | Panther Commercial Holdings L.P Term Loan, 5.739%, (US0003M + 4.500%), 01/07/2028 | | 275,885 | | 0.0 |
179,550 | | | | Ping Identity Corporation 2021 Term Loan B, 5.375%, (SOFRRATE + 3.750%), 11/22/2028 | | 173,715 | | 0.0 |
398,613 | | | | Planview Parent, Inc. Term Loan, 6.250%, (US0001M + 4.000%), 12/17/2027 | | 377,021 | | 0.0 |
494,832 | | | | Project Accelerate Parrent LLC 1st Lien Term Loan, 5.916%, (US0001M + 4.250%), 01/02/2025 | | 468,853 | | 0.0 |
6,309 | | | | Project Boost Purchaser, LLC 2019 Term Loan B, 5.166%, (US0001M + 3.500%), 06/01/2026 | | 5,919 | | 0.0 |
191,555 | | | | Project Leopard Holdings, Inc. 2019 Term Loan, 6.166%, (US0003M + 4.500%), 07/07/2024 | | 190,573 | | 0.0 |
460,000 | | | | Quest Software US Holdings Inc. 2022 2nd Lien Term Loan, 8.724%, (SOFRRATE + 7.500%), 02/01/2030 | | 415,917 | | 0.0 |
889,080 | | | | Rackspace Technology Global, Inc. 2021 Term Loan, 3.500%, (US0003M + 2.750%), 02/15/2028 | | 814,842 | | 0.1 |
597,000 | | | | RealPage, Inc 1st Lien Term Loan, 4.916%, (US0001M + 3.000%), 04/24/2028 | | 552,524 | | 0.0 |
1,945,300 | | | | Redstone Buyer LLC 2021 Term Loan, 5.934%, (US0003M + 4.750%), 04/27/2028 | | 1,687,548 | | 0.1 |
927,707 | | (3) | | Riverbed Technology, Inc. 2021 PIK Exit Term Loan, 7.630% (PIK Rate 2.000%, Cash Rate 7.000%), 12/07/2026 | | 542,709 | | 0.0 |
793,004 | | | | Rocket Software, Inc. 2018 Term Loan, 5.916%, (US0001M + 4.250%), 11/28/2025 | | 740,137 | | 0.1 |
237,600 | | | | Rocket Software, Inc. 2021 USD Incremental Term Loan B, 5.916%, (US0001M + 4.250%), 11/28/2025 | | 222,156 | | 0.0 |
263,332 | | | | Sabre GLBL Inc. 2021 Term Loan B1, 5.166%, (US0001M + 3.500%), 12/17/2027 | | 247,478 | | 0.0 |
419,768 | | | | Sabre GLBL Inc. 2021 Term Loan B2, 5.166%, (US0001M + 3.500%), 12/17/2027 | | 394,494 | | 0.0 |
573,164 | | | | Seattle Spinco, Inc. USD Term Loan B3, 4.416%, (US0001M + 2.750%), 06/21/2024 | | 546,655 | | 0.0 |
453,860 | | | | SkillSoft Corporation 2021 Term Loan, 6.187%, (TSFR1M + 5.250%), 07/14/2028 | | 422,846 | | 0.0 |
374,526 | | | | SonicWall US Holdings Inc. 1st Lien Term Loan, 5.256%, (US0003M + 3.750%), 05/16/2025 | | 358,063 | | 0.0 |
80,257 | | (11) | | Sovos Compliance, LLC 2021 Delayed Draw Term Loan, 6.152%, (US0001M + 4.500%), 08/11/2028 | | 75,876 | | 0.0 |
462,419 | | | | Sovos Compliance, LLC 2021 Term Loan, 6.166%, (US0001M + 4.500%), 08/11/2028 | | 437,179 | | 0.0 |
234,413 | | | | Tenable Holdings, Inc. Term Loan B, 3.269%, (US0006M + 2.750%), 07/07/2028 | | 223,864 | | 0.0 |
425,854 | | | | Trader Interactive, LLC 2021 Term Loan B, 5.416%, (US0001M + 3.750%), 07/28/2028 | | 409,884 | | 0.0 |
6,289 | | | | Travelport Finance (Luxembourg) S.a.r.l. 2020 Super Priority Term Loan, 3.750%, 02/28/2025 | | 6,229 | | 0.0 |
601,907 | | | | Travelport Finance (Luxembourg) S.a.r.l. 2021 Consented Term Loan, 7.250%, 05/29/2026 | | 466,779 | | 0.0 |
591,430 | | | | TTM Technologies, Inc. 2017 Term Loan, 3.562%, (US0001M + 2.500%), 09/28/2024 | | 586,162 | | 0.0 |
49,875 | | | | Virtusa Corporation 2022 Incremental Term Loan, 5.375%, (SOFRRATE + 3.750%), 02/15/2029 | | 47,194 | | 0.0 |
343,700 | | | | Watlow Electric Manufacturing Company Term Loan B, 5.416%, (US0001M + 3.750%), 03/02/2028 | | 323,508 | | 0.0 |
423,363 | | | | Xperi Corporation 2020 Term Loan B, 5.166%, (US0001M + 3.500%), 06/08/2028 | | 407,222 | | 0.0 |
| | | | | | 34,683,221 | | 1.6 |
| | | | | | | | |
| | | | Equipment Leasing: 0.1% | | | | |
288,550 | | | | Albion Financing 3 SARL USD Term Loan, 6.434%, (US0003M + 5.250%), 08/17/2026 | | 276,828 | | 0.0 |
708,841 | | | | Rent-A-Center, Inc. 2021 First Lien Term Loan B, 4.938%, (US0001M + 3.250%), 02/17/2028 | | 639,139 | | 0.1 |
| | | | | | 915,967 | | 0.1 |
| | | | | | | | |
| | | | Financial: 0.0% | | | | |
110,000 | | | | Blackstone Mortgage Trust, Inc. 2022 TL B4 1L, 5.426%, (TSFR1M + 3.500%), 05/09/2029 | | 106,562 | | 0.0 |
155,000 | | | | Wells Fargo AM / Allspring 2022 TL B 1L, 5.037%, (US0001M + 3.250%), 11/01/2028 | | 149,640 | | 0.0 |
| | | | | | 256,202 | | 0.0 |
| | | | | | | | |
| | | | Financial Intermediaries: 0.5% | | | | |
775,606 | | | | Advisor Group, Inc. 2021 Term Loan, 6.166%, (US0001M + 4.500%), 07/31/2026 | | 739,734 | | 0.1 |
415,000 | | | | AqGen Ascensus, Inc. 2021 2nd Lien Term Loan, 7.500%, (US0003M + 6.500%), 08/02/2029 | | 384,394 | | 0.0 |
537,303 | | | | AqGen Island Holdings, Inc. Term Loan, 5.813%, (US0003M + 3.500%), 08/02/2028 | | 502,378 | | 0.0 |
385,125 | | | | Blackstone Mortgage Trust, Inc. 2021 Term Loan B2, 4.416%, (US0001M + 2.750%), 04/23/2026 | | 364,906 | | 0.0 |
96,610 | | | | Castlelake Aviation Limited Delayed Draw Term Loan, 5.035%, (US0003M + 2.750%), 10/07/2026 | | 92,464 | | 0.0 |
565,725 | | | | Castlelake Aviation Limited Term Loan B, 4.579%, (US0003M + 2.750%), 10/22/2026 | | 541,446 | | 0.0 |
690,210 | | | | Citadel Securities LP 2021 Term Loan B, 3.649%, (SOFRRATE + 2.500%), 02/02/2028 | | 665,838 | | 0.0 |
675,064 | | | | Cushman & Wakefield U.S. Borrower, LLC 2020 Term Loan B, 4.416%, (US0001M + 2.750%), 08/21/2025 | | 636,459 | | 0.0 |
1,239,867 | | | | Deerfield Dakota Holding, LLC 2020 USD Term Loan B, 5.275%, (TSFR1M + 3.750%), 04/09/2027 | | 1,171,054 | | 0.1 |
1,098,124 | | | | Edelman Financial Center, LLC 2021 Term Loan B, 5.166%, (US0001M + 3.500%), 04/07/2028 | | 1,014,392 | | 0.1 |
1,139,037 | | | | First Eagle Holdings, Inc. 2020 Term Loan B, 4.750%, (US0003M + 2.500%), 02/01/2027 | | 1,066,898 | | 0.1 |
636,595 | | | | Focus Financial Partners, LLC 2021 Term Loan, 4.166%, (US0001M + 2.500%), 06/30/2028 | | 609,938 | | 0.0 |
636,800 | | | | HighTower Holdings LLC 2021 Term Loan B, 5.098%, (US0003M + 4.000%), 04/21/2028 | | 595,408 | | 0.0 |
569,221 | | | | Jane Street Group, LLC 2021 Term Loan, 4.416%, (US0001M + 2.750%), 01/26/2028 | | 547,698 | | 0.0 |
247,462 | | | | LPL Holdings, Inc. 2019 Term Loan B1, 2.812%, (US0001M + 1.750%), 11/12/2026 | | 242,203 | | 0.0 |
494,225 | | | | Trans Union, LLC 2019 Term Loan B5, 3.416%, (US0001M + 1.750%), 11/16/2026 | | 471,830 | | 0.0 |
814,010 | | | | Trans Union, LLC 2021 Term Loan B6, 3.916%, (US0001M + 2.250%), 12/01/2028 | | 778,833 | | 0.1 |
625,000 | | | | VFH Parent LLC 2022 Term Loan B, 4.434%, (SOFRRATE + 3.000%), 01/13/2029 | | 592,969 | | 0.0 |
199,000 | | | | Walker & Dunlop, Inc. 2021 Term Loan, 3.875%, (SOFRRATE + 2.250%), 12/16/2028 | | 191,040 | | 0.0 |
| | | | | | 11,209,882 | | 0.5 |
| | | | | | | | |
| | | | Food Products: 0.3% | | | | |
488,608 | | | | 8th Avenue Food & Provisions, Inc. 2018 1st Lien Term Loan, 5.416%, (US0001M + 3.750%), 10/01/2025 | | 415,317 | | 0.0 |
684,825 | | | | 8th Avenue Food & Provisions, Inc. 2021 Incremental Term Loan, 6.383%, (US0001M + 4.750%), 10/01/2025 | | 589,520 | | 0.1 |
285,000 | | | | BCPE North Star US HoldCo 2, Inc. 2021 2nd Lien Term Loan, 9.500%, (US0003M + 7.250%), 06/08/2029 | | 273,600 | | 0.0 |
783,038 | | | | CHG PPC Parent LLC 2021 Term Loan, 4.688%, (US0001M + 3.000%), 12/08/2028 | | 739,970 | | 0.1 |
108,158 | | | | Dessert Holdings Inc. Delayed Draw Term Loan, 6.285%, (US0003M + 4.000%), 06/09/2028 | | 100,317 | | 0.0 |
573,958 | | | | Dessert Holdings Inc. Term Loan, 6.254%, (US0003M + 4.000%), 06/09/2028 | | 532,346 | | 0.0 |
1,656,624 | | | | IRB Holding Corp 2022 Term Loan B, 4.238%, (SOFRRATE + 3.150%), 12/15/2027 | | 1,575,864 | | 0.1 |
494,885 | | | | JBS USA Lux S.A. 2019 Term Loan B, 2.804%, (US0006M + 2.000%), 05/01/2026 | | 479,420 | | 0.0 |
475,000 | | | | Primary Products Finance LLC Term Loan, 4.500%, (US0001M + 4.000%), 03/31/2029 | | 462,333 | | 0.0 |
516,013 | | | | Sigma Bidco B.V. 2018 USD Term Loan B2, 3.345%, (US0006M + 3.000%), 07/02/2025 | | 416,680 | | 0.0 |
641,746 | | | | Weber-Stephen Products LLC Term Loan B, 4.916%, (US0001M + 3.250%), 10/30/2027 | | 585,192 | | 0.0 |
207,375 | | | | WOOF Holdings, Inc 1st Lien Term Loan, 5.813%, (US0003M + 3.750%), 12/21/2027 | | 194,414 | | 0.0 |
| | | | | | 6,364,973 | | 0.3 |
| | | | | | | | |
| | | | Food Service: 0.3% | | | | |
742,386 | | | | 1011778 B.C. Unlimited Liability Company Term Loan B4, 3.416%, (US0001M + 1.750%), 11/19/2026 | | 710,463 | | 0.0 |
1,536,150 | | | | Fertitta Entertainment, LLC 2022 Term Loan B, 5.525%, (SOFRRATE + 4.000%), 01/27/2029 | | 1,418,195 | | 0.1 |
860,675 | | | | Flynn Restaurant Group LP 2021 Term Loan B, 5.916%, (US0001M + 4.250%), 12/01/2028 | | 806,883 | | 0.1 |
500,000 | | | | Fogo De Chao, Inc. 2018 Add On Term Loan, 5.916%, (US0001M + 4.250%), 04/07/2025 | | 478,334 | | 0.0 |
629,374 | | | | H Food Holdings LLC 2018 Term Loan B, 5.354%, (US0001M + 3.688%), 05/23/2025 | | 568,089 | | 0.0 |
52,000 | | | | K-Mac Holdings Corp 2021 2nd Lien Term Loan, 8.416%, (US0001M + 6.750%), 07/30/2029 | | 49,725 | | 0.0 |
232,759 | | | | Tacala, LLC 1st Lien Term Loan, 5.166%, (US0001M + 3.500%), 02/05/2027 | | 217,921 | | 0.0 |
991,078 | | | | US Foods, Inc. 2019 Term Loan B, 3.575%, (US0003M + 2.000%), 09/13/2026 | | 933,595 | | 0.1 |
577,100 | | | | US Foods, Inc. 2021 Term Loan B, 4.325%, (US0003M + 2.750%), 11/22/2028 | | 550,650 | | 0.0 |
750,000 | | | | Welbilt, Inc. 2018 Term Loan B, 4.166%, (US0001M + 2.500%), 10/23/2025 | | 740,625 | | 0.0 |
| | | | | | 6,474,480 | | 0.3 |
| | | | | | | | |
| | | | Food/Drug Retailers: 0.1% | | | | |
1,114,350 | | | | EG America LLC 2018 USD Term Loan, 6.250%, (US0003M + 4.000%), 02/07/2025 | | 1,054,106 | | 0.1 |
183,469 | | | | EG Group Limited 2021 Term Loan, 6.500%, (US0003M + 4.250%), 03/31/2026 | | 174,525 | | 0.0 |
45,178 | | (3) | | Moran Foods, LLC 2020 2nd Lien Term Loan, 13.000%, (US0003M + 9.750%) (PIK Rate 10.750%, Cash Rate 1.000%), 10/01/2024 | | 27,784 | | 0.0 |
32,092 | | (3) | | Moran Foods, LLC 2020 Term Loan, 9.250%, (US0003M + 7.000%) (PIK Rate 7.000%, Cash Rate 1.000%), 04/01/2024 | | 29,204 | | 0.0 |
| | | | | | 1,285,619 | | 0.1 |
| | | | | | | | |
| | | | Forest Products: 0.0% | | | | |
273,531 | | | | Osmose Utilities Services, Inc. Term Loan, 4.916%, (US0001M + 3.250%), 06/23/2028 | | 245,836 | | 0.0 |
337,457 | | | | Spa Holdings 3 Oy USD Term Loan B, 6.000%, (US0003M + 3.750%), 02/04/2028 | | 314,678 | | 0.0 |
| | | | | | 560,514 | | 0.0 |
| | | | Health Care: 1.3% | | | | |
570,000 | | | | Accelerated Health Systems, LLC 2022 Term Loan B, 5.160%, (SOFRRATE + 4.250%), 02/15/2029 | | 542,213 | | 0.0 |
471,438 | | | | ADMI Corp. 2021 Incremental Term Loan B3, 5.166%, (US0001M + 3.500%), 12/23/2027 | | 432,780 | | 0.0 |
755,438 | | | | ADMI Corp. 2021 Term Loan B2, 5.041%, (US0001M + 3.375%), 12/23/2027 | | 689,526 | | 0.0 |
294,513 | | | | Agiliti Health, Inc Term Loan, 3.813%, (US0001M + 2.750%), 01/04/2026 | | 283,469 | | 0.0 |
627,798 | | | | Air Methods Corporation 2017 Term Loan B, 5.750%, (US0003M + 3.500%), 04/22/2024 | | 558,348 | | 0.0 |
51,449 | | (11) | | Athenahealth, Inc. 2022 Delayed Draw Term loan, 5.000%, (SOFRRATE + 3.500%), 02/15/2029 | | 47,488 | | 0.0 |
303,551 | | | | Athenahealth, Inc. 2022 Term Loan, 5.009%, (SOFRRATE + 3.500%), 02/15/2029 | | 280,177 | | 0.0 |
669,938 | | | | Bella Holding Company, LLC 2021 Term Loan B, 5.416%, (US0001M + 3.750%), 05/10/2028 | | 628,485 | | 0.0 |
175,684 | | | | Carestream Dental Equipment, Inc 2017 1st Lien Term Loan, 4.916%, (US0001M + 3.250%), 09/01/2024 | | 165,363 | | 0.0 |
499,606 | | | | CCRR Parent, Inc Term Loan B, 6.010%, (US0003M + 3.750%), 03/06/2028 | | 482,119 | | 0.0 |
702,072 | | | | Change Healthcare Holdings LLC 2017 Term Loan B, 4.166%, (US0001M + 2.500%), 03/01/2024 | | 684,520 | | 0.0 |
724,525 | | | | CHG Healthcare Services Inc. 2021 Term Loan, 4.750%, (US0003M + 3.250%), 09/29/2028 | | 682,639 | | 0.0 |
736,185 | | | | Curia Global, Inc. 2021 Term Loan, 4.989%, (US0003M + 3.750%), 08/30/2026 | | 694,775 | | 0.0 |
811,406 | | | | Da Vinci Purchaser Corp. 2019 Term Loan, 6.250%, (US0003M + 4.000%), 01/08/2027 | | 771,849 | | 0.1 |
156,957 | | | | Embecta Corp Term Loan B, 5.054%, (TSFR1M + 3.000%), 03/30/2029 | | 148,716 | | 0.0 |
1,196,941 | | | | Envision Healthcare Corporation 2018 1st Lien Term Loan, 5.416%, (US0001M + 3.750%), 10/10/2025 | | 417,860 | | 0.0 |
646,751 | | | | eResearchTechnology, Inc. 2020 1st Lien Term Loan, 6.166%, (US0001M + 4.500%), 02/04/2027 | | 598,514 | | 0.0 |
945,669 | | | | Global Medical Response, Inc. 2020 Term Loan B, 5.250%, (US0001M + 4.250%), 10/02/2025 | | 881,836 | | 0.1 |
584,830 | | | | GoodRx, Inc. 1st Lien Term Loan, 4.416%, (US0001M + 2.750%), 10/10/2025 | | 536,582 | | 0.0 |
247,396 | | | | Greenway Health, LLC 2017 1st Lien Term Loan, 5.250%, (US0003M + 3.750%), 02/16/2024 | | 224,202 | | 0.0 |
430,650 | | | | Heartland Dental, LLC 2021 Incremental Term Loan, 5.642%, (US0001M + 4.000%), 04/30/2025 | | 404,811 | | 0.0 |
1,142,650 | | | | Hunter Holdco 3 Limited USD Term Loan B, 6.500%, (US0003M + 4.250%), 08/19/2028 | | 1,088,374 | | 0.1 |
344,138 | | | | ICU Medical, Inc. Term Loan B, 4.604%, (SOFRRATE + 2.650%), 01/08/2029 | | 333,383 | | 0.0 |
895,478 | | | | Lifescan Global Corporation 2018 1st Lien Term Loan, 6.962%, (US0003M + 6.000%), 10/01/2024 | | 801,453 | | 0.1 |
460,845 | | | | Medical Solutions Holdings, Inc. 2021 1st Lien Term Loan, 6.377%, (US0003M + 3.500%), 11/01/2028 | | 432,810 | | 0.0 |
88,000 | | (11) | | Medical Solutions Holdings, Inc. 2021 Delayed Draw Term Loan, 5.785%, (US0003M + 3.500%), 11/01/2028 | | 82,647 | | 0.0 |
1,306,725 | | | | Medline Borrower, LP USD Term Loan B, 4.916%, (US0001M + 3.250%), 10/23/2028 | | 1,214,321 | | 0.1 |
280,000 | | | | MJH Healthcare Holdings, LLC 2021 Term Loan B, 5.109%, (SOFRRATE + 3.600%), 01/28/2029 | | 263,900 | | 0.0 |
930,463 | | | | MPH Acquisition Holdings LLC 2021 Term Loan B, 5.825%, (US0003M + 4.250%), 09/01/2028 | | 860,096 | | 0.1 |
150,000 | | | | National Mentor Holdings, Inc. 2021 2nd Lien Term Loan, 9.510%, (US0003M + 7.250%), 03/02/2029 | | 138,000 | | 0.0 |
1,198,439 | | | | National Mentor Holdings, Inc. 2021 Term Loan, 5.747%, (US0003M + 3.750%), 03/02/2028 | | 1,054,626 | | 0.1 |
40,256 | | | | National Mentor Holdings, Inc. 2021 Term Loan C, 6.010%, (US0003M + 3.750%), 03/02/2028 | | 35,425 | | 0.0 |
217,800 | | | | New Trojan Parent, Inc. 1st Lien Term Loan, 4.329%, (US0001M + 3.250%), 01/06/2028 | | 195,657 | | 0.0 |
425,700 | | | | Pacific Dental Services, LLC 2021 Term Loan, 4.759%, (US0001M + 3.250%), 05/05/2028 | | 409,204 | | 0.0 |
773,034 | | | | Pathway Vet Alliance LLC 2021 Term Loan, 6.000%, (US0003M + 3.750%), 03/31/2027 | | 719,888 | | 0.1 |
615,038 | | | | Pediatric Associates Holding Company, LLC 2021 Term Loan B, 5.076%, (US0003M + 3.250%), 12/29/2028 | | 578,135 | | 0.0 |
93,395 | | | | Pediatric Associates Holding Company, LLC 2022 Delayed Draw Term loan, 4.922%, (US0003M + 3.250%), 12/29/2028 | | 87,791 | | 0.0 |
149,091 | | (11) | | Perrigo Investments, LLC Delayed Draw Term Loan B, 4.000%, (SOFRRATE + 2.500%), 04/20/2029 | | 144,618 | | 0.0 |
260,909 | | | | Perrigo Investments, LLC Term Loan B, 3.645%, (TSFR1M + 2.500%), 04/20/2029 | | 253,082 | | 0.0 |
852,538 | | | | PetVet Care Centers, LLC 2021 Term Loan B3, 5.166%, (US0001M + 3.500%), 02/14/2025 | | 806,359 | | 0.1 |
1,017,403 | | | | Phoenix Guarantor Inc 2020 Term Loan B, 4.916%, (US0001M + 3.250%), 03/05/2026 | | 952,861 | | 0.1 |
298,121 | | | | Physician Partners LLC Term Loan, 5.625%, (SOFRRATE + 4.000%), 12/23/2028 | | 280,606 | | 0.0 |
202,950 | | | | Pluto Acquisition I, Inc. 2021 1st Lien Term Loan, 6.076%, (US0003M + 4.000%), 06/22/2026 | | 177,835 | | 0.0 |
628,425 | | | | PointClickCare Technologies, Inc. 2022 Term Loan B, 4.775%, (SOFRRATE + 4.000%), 12/29/2027 | | 593,862 | | 0.0 |
485,000 | | | | Press Ganey Holdings, Inc. 2022 Incremental Term Loan, 4.900%, (SOFRRATE + 3.750%), 07/24/2026 | | 454,688 | | 0.0 |
276,500 | | | | Project Ruby Ultimate Parent Corp. 2021 Term Loan, 4.916%, (US0001M + 3.250%), 03/03/2028 | | 259,564 | | 0.0 |
1,285,765 | | | | RegionalCare Hospital Partners Holdings, Inc. 2018 Term Loan B, 5.416%, (US0001M + 3.750%), 11/16/2025 | | 1,202,535 | | 0.1 |
368,150 | | | | Resonetics, LLC 2021 Term Loan, 5.239%, (US0003M + 4.000%), 04/28/2028 | | 350,203 | | 0.0 |
579,198 | | | | RxBenefits, Inc. 2020 Term Loan, 6.609%, (US0006M + 4.500%), 12/20/2027 | | 538,654 | | 0.0 |
500,000 | | | | Select Medical Corporation 2017 Term Loan B, 4.170%, (US0001M + 2.500%), 03/06/2025 | | 479,166 | | 0.0 |
635,000 | | | | Sotera Health Holdings, LLC 2021 Term Loan, 4.416%, (US0001M + 2.750%), 12/11/2026 | | 604,837 | | 0.0 |
816,750 | | | | Surgery Center Holdings, Inc. 2021 Term Loan, 4.950%, (US0001M + 3.750%), 08/31/2026 | | 762,895 | | 0.1 |
394,239 | | | | Tecomet Inc. 2017 Repriced Term Loan, 4.500%, (US0003M + 3.500%), 05/01/2024 | | 343,974 | | 0.0 |
863,475 | | | | US Anesthesia Partners Inc 2021 Term Loan, 5.312%, (US0001M + 4.250%), 10/01/2028 | | 809,200 | | 0.1 |
798,963 | | | | Virgin Pulse, Inc. 2021 Term Loan, 5.666%, (US0001M + 4.000%), 04/06/2028 | | 693,100 | | 0.0 |
628,425 | | | | WP CityMD Bidco LLC 2021 1st Lien Term Loan B, 5.500%, (US0003M + 3.250%), 12/22/2028 | | 592,919 | | 0.0 |
| | | | | | 28,752,940 | | 1.3 |
| | | | | | | | |
| | | | Home Furnishings: 0.1% | | | | |
526,025 | | | | Conair Holdings, LLC Term Loan B, 6.000%, (US0003M + 3.750%), 05/17/2028 | | 442,738 | | 0.0 |
746,250 | | | | Illuminate Merger Sub Corp. Term Loan, 6.377%, (US0006M + 3.500%), 07/21/2028 | | 656,234 | | 0.0 |
989,687 | | | | Prime Security Services Borrower, LLC 2021 Term Loan, 3.500%, (US0006M + 2.750%), 09/23/2026 | | 927,584 | | 0.1 |
25,000 | | | | Solis IV BV USD Term Loan B1, 4.842%, (SOFRRATE + 3.500%), 02/26/2029 | | 21,583 | | 0.0 |
| | | | | | 2,048,139 | | 0.1 |
| | | | | | | | |
| | | | Industrial: 0.1% | | | | |
295,000 | | | | AZZ, Inc. 2022 TL B 1L, 6.176%, (TSFR1M + 4.250%), 05/06/2029 | | 283,938 | | 0.0 |
240,000 | | | | Brown Group Holding LLC 2022 Term Loan B2 1L, 5.676%, (TSFR1M + 3.750%), 06/09/2029 | | 231,600 | | 0.0 |
663,896 | | | | First Student Bidco, Inc. 2022 Term Loan B 1L, 5.926%, (TSFR1M + 4.000%), 06/29/2028 | | 613,274 | | 0.1 |
46,104 | | | | First Student Bidco, Inc. 2022 Term Loan C 1L, 5.926%, (TSFR1M + 4.000%), 06/29/2028 | | 42,617 | | 0.0 |
225,000 | | | | Five Star 2022 Term Loan 1L, 6.176%, (TSFR1M + 4.250%), 05/04/2029 | | 217,125 | | 0.0 |
575,000 | | | | Project Castle, Inc. Term Loan B 1L, 7.426%, (TSFR1M + 5.500%), 05/31/2029 | | 523,250 | | 0.0 |
630,000 | | | | STG Logistics, Inc. 2022 TL 1L, 7.926%, (TSFR1M + 6.000%), 05/15/2029 | | 607,950 | | 0.0 |
155,000 | | | | Vertex Aerospace Services Corp 2022 Term Loan B 1L, 5.926%, (TSFR1M + 4.000%), 12/06/2028 | | 148,800 | | 0.0 |
| | | | | | 2,668,554 | | 0.1 |
| | | | | | | | |
| | | | Industrial Equipment: 0.2% | | | | |
478,105 | | | | Alliance Laundry Systems LLC Term Loan B, 4.524%, (US0003M + 3.500%), 10/08/2027 | | 454,947 | | 0.0 |
269,325 | | | | Clark Equipment Company 2022 Term Loan B, 4.654%, (TSFR1M + 2.500%), 04/20/2029 | | 260,796 | | 0.0 |
492,525 | | | | CMBF LLC Term Loan, 7.190%, (US0001M + 6.000%), 08/02/2028 | | 440,810 | | 0.0 |
78,799 | | | | CPM Holdings, Inc. 2018 1st Lien Term Loan, 4.562%, (US0001M + 3.500%), 11/17/2025 | | 75,450 | | 0.0 |
184,075 | | | | Filtration Group Corporation 2021 Incremental Term Loan, 5.166%, (US0001M + 3.500%), 10/21/2028 | | 172,570 | | 0.0 |
771,498 | | | | Granite Holdings US Acquisition Co. 2021 Term Loan B, 5.006%, (US0003M + 4.000%), 09/30/2026 | | 729,708 | | 0.1 |
159,115 | | | | I-Logic Technologies Bidco Limited 2021 USD Term Loan B, 6.204%, (TSFR1M + 4.000%), 02/16/2028 | | 150,363 | | 0.0 |
941,070 | | | | Kenan Advantage Group, Inc. 2021 Term Loan B, 5.383%, (US0001M + 3.750%), 03/24/2026 | | 879,901 | | 0.1 |
498,744 | | | | Madison IAQ LLC Term Loan, 4.524%, (US0006M + 3.250%), 06/21/2028 | | 455,977 | | 0.0 |
414,548 | | | | Star US Bidco LLC Term Loan B, 5.916%, (US0001M + 4.250%), 03/17/2027 | | 396,930 | | 0.0 |
660,446 | | | | Vertical US Newco Inc Term Loan B, 4.015%, (US0006M + 3.500%), 07/30/2027 | | 620,819 | | 0.0 |
| | | | | | 4,638,271 | | 0.2 |
| | | | | | | | |
| | | | Insurance: 0.5% | | | | |
674,786 | | | | Acrisure, LLC 2020 Term Loan B, 5.166%, (US0001M + 3.500%), 02/15/2027 | | 621,225 | | 0.0 |
587,050 | | | | Acrisure, LLC 2021 First Lien Term Loan B, 5.916%, (US0001M + 4.250%), 02/15/2027 | | 553,295 | | 0.0 |
168,725 | | | | Acrisure, LLC 2021 Incremental Term Loan B, 5.416%, (US0001M + 3.750%), 02/15/2027 | | 158,461 | | 0.0 |
767,306 | | | | Alliant Holdings Intermediate, LLC 2018 Term Loan B, 4.916%, (US0001M + 3.250%), 05/09/2025 | | 725,104 | | 0.0 |
1,246,561 | | | | Alliant Holdings Intermediate, LLC 2021 Term Loan B4, 5.009%, (US0001M + 3.500%), 11/06/2027 | | 1,162,418 | | 0.1 |
744,350 | | | | AmWINS Group, Inc. 2021 Term Loan B, 3.904%, (US0001M + 2.250%), 02/19/2028 | | 704,031 | | 0.0 |
389,949 | | | | Aretec Group, Inc. 2018 Term Loan, 5.916%, (US0001M + 4.250%), 10/01/2025 | | 371,751 | | 0.0 |
1,058,809 | | | | AssuredPartners, Inc. 2020 Term Loan B, 5.166%, (US0001M + 3.500%), 02/12/2027 | | 992,634 | | 0.1 |
756,113 | | | | AssuredPartners, Inc. 2021 Term Loan B, 5.166%, (US0001M + 3.500%), 02/12/2027 | | 709,328 | | 0.0 |
384,038 | | | | AssuredPartners, Inc. 2022 Term Loan, 5.025%, (TSFR1M + 3.500%), 02/12/2027 | | 358,835 | | 0.0 |
1,155,587 | | | | Hub International Limited 2018 Term Loan B, 4.214%, (US0003M + 3.000%), 04/25/2025 | | 1,094,598 | | 0.1 |
577,100 | | | | IMA Financial Group, Inc. Term Loan, 5.416%, (US0001M + 3.750%), 11/01/2028 | | 547,524 | | 0.0 |
1,297,497 | | | | NFP Corp. 2020 Term Loan, 4.916%, (US0001M + 3.250%), 02/15/2027 | | 1,204,726 | | 0.1 |
949,365 | | | | OneDigital Borrower LLC 2021 Term Loan, 5.710%, (SOFRRATE + 4.250%), 11/16/2027 | | 899,524 | | 0.0 |
1,315,503 | | | | Sedgwick Claims Management Services, Inc. 2018 Term Loan B, 4.916%, (US0001M + 3.250%), 12/31/2025 | | 1,236,572 | | 0.1 |
247,449 | | | | Sedgwick Claims Management Services, Inc. 2019 Term Loan B, 5.416%, (US0001M + 3.750%), 09/03/2026 | | 235,819 | | 0.0 |
| | | | | | 11,575,845 | | 0.5 |
| | | | | | | | |
| | | | Leisure Good/Activities/Movies: 0.4% | | | | |
348,106 | | (3) | | 24 Hour Fitness Worldwide, Inc. 2021 Delayed Draw Term Loan, 3.575% (PIK Rate 12.000%, Cash Rate 3.000%), 08/26/2022 | | 342,014 | | 0.0 |
346,611 | | (3) | | 24 Hour Fitness Worldwide, Inc. 2021 Exit Delayed Draw Term Loan, 15.900%, (US0003M + 14.000%) (PIK Rate 12.000%, Cash Rate 3.000%), 09/29/2026 | | 344,878 | | 0.0 |
1,214,797 | | | | Alterra Mountain Company 2021 Series B-2 Consenting Term Loan, 5.166%, (US0001M + 3.500%), 08/17/2028 | | 1,162,028 | | 0.1 |
917,227 | | | | AMC Entertainment Holdings, Inc. 2019 Term Loan B, 4.200%, (US0001M + 3.000%), 04/22/2026 | | 774,293 | | 0.1 |
927,675 | | | | AppLovin Corporation 2021 Term Loan B, 5.250%, (US0003M + 3.000%), 10/25/2028 | | 884,770 | | 0.1 |
496,193 | | | | Bombardier Recreational Products, Inc. 2020 Term Loan, 3.666%, (US0001M + 2.000%), 05/24/2027 | | 459,185 | | 0.0 |
334,163 | | | | City Football Group Limited Term Loan, 4.598%, (US0003M + 3.500%), 07/21/2028 | | 309,100 | | 0.0 |
574,566 | | | | ClubCorp Holdings, Inc. 2017 Term Loan B, 5.000%, (US0003M + 2.750%), 09/18/2024 | | 530,577 | | 0.0 |
1,025,125 | | | | CWGS Group, LLC 2021 Term Loan B, 3.851%, (US0001M + 2.500%), 06/03/2028 | | 923,894 | | 0.1 |
692,746 | | | | Hayward Industries, Inc. 2021 Term Loan, 4.166%, (US0001M + 2.500%), 05/30/2028 | | 661,680 | | 0.0 |
833,700 | | | | MajorDrive Holdings IV LLC Term Loan B, 5.625%, (US0003M + 4.000%), 06/01/2028 | | 755,193 | | 0.0 |
494,987 | | | | Playtika Holding Corp 2021 Term Loan, 4.416%, (US0001M + 2.750%), 03/13/2028 | | 467,392 | | 0.0 |
10,715 | | | | RV Retailer, LLC Term Loan B, 5.168%, (SOFRRATE + 3.750%), 02/08/2028 | | 9,090 | | 0.0 |
665,000 | | | | Scientific Games Holdings LP 2022 USD Term Loan B, 4.175%, (SOFRRATE + 3.500%), 04/04/2029 | | 616,234 | | 0.0 |
384,803 | | | | The Knot Worldwide Inc. 2022 Term Loan, 6.125%, (SOFRRATE + 4.500%), 12/19/2025 | | 369,411 | | 0.0 |
250,000 | | | | WMG Acquisition Corp. 2021 Term Loan G, 3.791%, (US0001M + 2.125%), 01/20/2028 | | 240,750 | | 0.0 |
367,609 | | | | Wyndham Hotels & Resorts, Inc. Term Loan B, 3.416%, (US0001M + 1.750%), 05/30/2025 | | 355,662 | | 0.0 |
| | | | | | 9,206,151 | | 0.4 |
| | | | | | | | |
| | | | Lodging & Casinos: 0.3% | | | | |
669,115 | | | | Aimbridge Acquisition Co., Inc. 2019 Term Loan B, 5.416%, (US0001M + 3.750%), 02/02/2026 | | 598,858 | | 0.0 |
730,100 | | | | Arches Buyer Inc. 2021 Term Loan B, 4.916%, (US0001M + 3.250%), 12/06/2027 | | 668,041 | | 0.1 |
628,458 | | | | Caesars Resort Collection, LLC 2020 Term Loan B1, 5.166%, (US0001M + 3.500%), 07/21/2025 | | 608,229 | | 0.0 |
590,000 | | | | Century Casinos, Inc 2022 Term Loan, 7.145%, (TSFR1M + 6.000%), 04/02/2029 | | 570,825 | | 0.0 |
454,972 | | | | Golden Entertainment, Inc. 2017 1st Lien Term Loan, 4.630%, (US0001M + 3.000%), 10/21/2024 | | 444,546 | | 0.0 |
992,500 | | | | Hilton Grand Vacations Borrower LLC 2021 Term Loan B, 4.666%, (US0001M + 3.000%), 08/02/2028 | | 930,717 | | 0.1 |
500,000 | | | | Hilton Worldwide Finance, LLC 2019 Term Loan B2, 3.374%, (US0001M + 1.750%), 06/22/2026 | | 480,125 | | 0.0 |
236,508 | | | | PCI Gaming Authority Term Loan, 4.166%, (US0001M + 2.500%), 05/29/2026 | | 226,900 | | 0.0 |
700,000 | | | | Scientific Games International, Inc. 2022 USD Term Loan, 4.358%, (TSFR1M + 3.000%), 04/14/2029 | | 657,854 | | 0.0 |
494,898 | | | | Station Casinos LLC 2020 Term Loan B, 3.920%, (US0001M + 2.250%), 02/08/2027 | | 466,905 | | 0.0 |
211,039 | | | | The Enterprise Development Authority Term Loan B, 5.916%, (US0001M + 4.250%), 02/28/2028 | | 204,115 | | 0.0 |
1,326,675 | | | | Twin River Worldwide Holdings, Inc. 2021 Term Loan B, 4.370%, (US0001M + 3.250%), 10/02/2028 | | 1,235,940 | | 0.1 |
| | | | | | 7,093,055 | | 0.3 |
| | | | | | | | |
| | | | Mortgage REITs: 0.0% | | | | |
493,896 | | | | BIFM CA Buyer Inc. Term Loan B, 5.071%, (US0001M + 3.500%), 06/01/2026 | | 467,967 | | 0.0 |
| | | | | | | | |
| | | | Nonferrous Metals/Minerals: 0.1% | | | | |
536,685 | | | | Covia Holdings Corporation 2020 PIK Take Back Term Loan, 5.000%, (US0003M + 4.000%), 07/31/2026 | | 508,777 | | 0.0 |
1,766,001 | | | | U.S. Silica Company 2018 Term Loan B, 5.688%, (US0001M + 4.000%), 05/01/2025 | | 1,706,949 | | 0.1 |
| | | | | | 2,215,726 | | 0.1 |
| | | | | | | | |
| | | | Oil & Gas: 0.3% | | | | |
89,067 | | | | BCP Renaissance Parent LLC 2017 Term Loan B, 5.166%, (US0001M + 3.500%), 10/31/2024 | | 86,173 | | 0.0 |
741,997 | | | | Brazos Delaware II, LLC Term Loan B, 5.595%, (US0001M + 4.000%), 05/21/2025 | | 716,584 | | 0.0 |
575,650 | | | | ITT Holdings LLC 2021 Term Loan, 4.416%, (US0001M + 2.750%), 07/10/2028 | | 550,465 | | 0.0 |
845,750 | | | | Lucid Energy Group II Borrower, LLC 2021 Term Loan, 5.874%, (US0001M + 4.250%), 11/24/2028 | | 837,141 | | 0.1 |
557,200 | | | | Medallion Midland Acquisition, LLC 2021 Term Loan, 5.416%, (US0001M + 3.750%), 10/18/2028 | | 534,216 | | 0.0 |
595,361 | | | | NorthRiver Midstream Finance LP 2018 Term Loan B, 4.217%, (US0003M + 3.250%), 10/01/2025 | | 581,221 | | 0.0 |
638,400 | | | | Oryx Midstream Services Permian Basin LLC Term Loan B, 4.705%, (US0003M + 3.250%), 10/05/2028 | | 607,677 | | 0.0 |
807,975 | | | | TransMontaigne Operating Company L.P. Term Loan B, 5.671%, (US0001M + 3.500%), 11/17/2028 | | 766,566 | | 0.1 |
644,120 | | | | Traverse Midstream Partners LLC 2017 Term Loan, 5.937%, (SOFRRATE + 4.250%), 09/27/2024 | | 616,208 | | 0.0 |
790,468 | | | | Waterbridge Midstream Operating LLC Term Loan B, 8.592%, (US0003M + 5.750%), 06/22/2026 | | 749,561 | | 0.1 |
| | | | | | 6,045,812 | | 0.3 |
| | | | | | | | |
| | | | Publishing: 0.2% | | | | |
1,019,869 | | | | Adevinta ASA USD Term Loan B, 5.285%, (US0003M + 3.000%), 06/26/2028 | | 973,974 | | 0.1 |
648,475 | | | | Alchemy Copyrights, LLC Term Loan B, 4.062%, (US0001M + 3.000%), 03/10/2028 | | 629,021 | | 0.0 |
496,250 | | | | Cengage Learning, Inc. 2021 Term Loan B, 5.750%, (US0003M + 4.750%), 07/14/2026 | | 449,354 | | 0.0 |
1,034,800 | | | | Dotdash Meredith Inc Term Loan B, 5.145%, (SOFRRATE + 4.000%), 12/01/2028 | | 970,125 | | 0.1 |
1,055,000 | | | | Houghton Mifflin Harcourt Publishing Company 2022 Term Loan, 6.875%, (TSFR1M + 5.250%), 04/09/2029 | | 959,391 | | 0.0 |
942,875 | | | | McGraw-Hill Global Education Holdings, LLC 2021 First Lien Term Loan B, 5.554%, (US0006M + 4.750%), 07/28/2028 | | 855,659 | | 0.0 |
| | | | | | 4,837,524 | | 0.2 |
| | | | | | | | |
| | | | Radio & Television: 0.3% | | | | |
396,850 | | | | A-L Parent LLC 2016 1st Lien Term Loan, 4.920%, (US0001M + 3.250%), 12/01/2023 | | 351,213 | | 0.0 |
654,018 | | | | Clear Channel Outdoor Holdings, Inc. Term Loan B, 4.739%, (US0003M + 3.500%), 08/21/2026 | | 563,069 | | 0.0 |
1,250,736 | | | | CMG Media Corporation 2021 Term Loan, 5.166%, (US0001M + 3.500%), 12/17/2026 | | 1,151,615 | | 0.1 |
2,778,823 | | | | Diamond Sports Group, LLC 2022 2nd Lien Term Loan, 4.431%, (SOFRRATE + 3.250%), 08/24/2026 | | 664,311 | | 0.0 |
175,767 | | | | Diamond Sports Group, LLC 2022 First Priority Term Loan, 9.181%, (SOFRRATE + 8.000%), 05/26/2026 | | 173,569 | | 0.0 |
416,667 | | | | Entercom Media Corp. 2019 Term Loan, 4.785%, (US0003M + 2.500%), 11/18/2024 | | 371,419 | | 0.0 |
880,575 | | | | Gray Television, Inc. 2021 Term Loan D, 4.062%, (US0001M + 3.000%), 12/01/2028 | | 844,251 | | 0.0 |
497,484 | | | | iHeartCommunications, Inc. 2020 Incremental Term Loan, 4.916%, (US0001M + 3.250%), 05/01/2026 | | 463,593 | | 0.0 |
752,363 | | | | iHeartCommunications, Inc. 2020 Term Loan, 4.666%, (US0001M + 3.000%), 05/01/2026 | | 700,638 | | 0.0 |
901,395 | | | | NASCAR Holdings, Inc Term Loan B, 4.166%, (US0001M + 2.500%), 10/19/2026 | | 873,016 | | 0.1 |
1,037,862 | | | | Univision Communications Inc. 2021 First Lien Term Loan B, 4.916%, (US0001M + 3.250%), 03/15/2026 | | 984,672 | | 0.1 |
| | | | | | 7,141,366 | | 0.3 |
| | | | | | | | |
| | | | Rail Industries: 0.0% | | | | |
742,405 | | | | Genesee & Wyoming Inc. (New) Term Loan, 4.250%, (US0003M + 2.000%), 12/30/2026 | | 714,771 | | 0.0 |
| | | | | | | | |
| | | | Retailers (Except Food & Drug): 0.4% | | | | |
260,000 | | | | AI Aqua Merger Sub, Inc. 2021 1st Lien Term Loan B, 4.831%, (SOFRRATE + 3.750%), 07/31/2028 | | 236,600 | | 0.0 |
79,630 | | (11) | | AI Aqua Merger Sub, Inc. 2022 Delayed Draw Term loan, 5.500%, (SOFRRATE + 4.000%), 07/31/2028 | | 72,463 | | 0.0 |
350,370 | | | | AI Aqua Merger Sub, Inc. 2022 Term Loan B, 5.926%, (TSFR1M + 4.000%), 07/31/2028 | | 318,837 | | 0.0 |
452,572 | | | | Franchise Group Intermediate Holdco, LLC 2021 First Out Term Loan B, 6.500%, (US0003M + 4.750%), 03/10/2026 | | 415,989 | | 0.0 |
1,147,591 | | | | Great Outdoors Group, LLC 2021 Term Loan B1, 5.416%, (US0001M + 3.750%), 03/06/2028 | | 1,052,436 | | 0.1 |
1,433,260 | | | | Harbor Freight Tools USA, Inc. 2021 Term Loan B, 4.416%, (US0001M + 2.750%), 10/19/2027 | | 1,274,257 | | 0.1 |
536,696 | | | | Jo-Ann Stores, Inc. 2021 Term Loan B1, 5.964%, (US0003M + 4.750%), 07/07/2028 | | 373,451 | | 0.0 |
184,075 | | | | Lakeshore Intermediate LLC Term Loan, 4.000%, (US0001M + 3.500%), 09/29/2028 | | 175,562 | | 0.0 |
559,694 | | | | Leslies Poolmart, Inc. 2021 Term Loan B, 3.019%, (US0003M + 2.500%), 03/09/2028 | | 533,388 | | 0.0 |
367,482 | | | | Mens Wearhouse, Inc. (The) 2020 Take Back Term Loan, 9.286%, (US0003M + 8.000%), 12/01/2025 | | 354,850 | | 0.0 |
762,300 | | | | Michaels Companies, Inc. 2021 Term Loan B, 6.500%, (US0003M + 4.250%), 04/15/2028 | | 633,980 | | 0.1 |
557,938 | | | | Petco Animal Supplies, Inc. 2021 Term Loan B, 5.500%, (US0003M + 3.250%), 03/03/2028 | | | 526,693 | | 0.0 |
577,100 | | | | Petmate Incremental Term Loan B, 7.750%, (US0003M + 5.500%), 09/15/2028 | | | 504,962 | | 0.0 |
828,738 | | | | Pilot Travel Centers LLC 2021 Term Loan B, 3.625%, (TSFR1M + 2.000%), 08/04/2028 | | | 795,912 | | 0.1 |
290,445 | | | | Restoration Hardware, Inc. Term Loan B, 4.166%, (US0001M + 2.500%), 10/20/2028 | | | 256,136 | | 0.0 |
588,398 | | | | Tory Burch LLC Term Loan B, 4.666%, (US0001M + 3.000%), 04/16/2028 | | | 532,500 | | 0.0 |
342,413 | | | | Victorias Secret & Co. Term Loan B, 4.536%, (US0003M + 3.250%), 08/02/2028 | | | 329,144 | | 0.0 |
| | | | | | | 8,387,160 | | 0.4 |
| | | | | | | | | |
| | | | Surface Transport: 0.2% | | | | | |
1,452,711 | | | | American Trailer World Corp. Term Loan B, 5.375%, (SOFRRATE + 3.750%), 03/03/2028 | | | 1,301,386 | | 0.1 |
420,337 | | | | ENC Holding Corporation 2021 Term Loan, 6.504%, (US0003M + 4.250%), 08/04/2028 | | | 403,523 | | 0.0 |
37,551 | | (11) | | ENC Holding Corporation Delayed Draw Term Loan, 6.535%, (US0003M + 4.250%), 08/19/2028 | | | 36,049 | | 0.0 |
200,000 | | | | LaserShip, Inc. 2021 2nd Lien Term Loan, 10.377%, (US0003M + 7.500%), 05/07/2029 | | | 184,000 | | 0.0 |
888,288 | | | | LaserShip, Inc. 2021 Term Loan, 7.377%, (US0006M + 4.500%), 05/07/2028 | | | 802,790 | | 0.1 |
507,856 | | | | Savage Enterprises LLC 2021 Term Loan B, 4.900%, (US0001M + 3.250%), 09/15/2028 | | | 485,320 | | 0.0 |
845,750 | | | | Worldwide Express Operations, LLC 2021 1st Lien Term Loan, 6.250%, (US0003M + 4.000%), 07/26/2028 | | | 770,690 | | 0.0 |
170,000 | | | | Worldwide Express Operations, LLC 2021 2nd Lien Term Loan, 9.250%, (US0003M + 7.000%), 07/26/2029 | | | 153,850 | | 0.0 |
500,000 | | | | XPO Logistics, Inc. 2018 Term Loan B, 2.870%, (US0001M + 1.750%), 02/24/2025 | | | 477,321 | | 0.0 |
| | | | | | | 4,614,929 | | 0.2 |
| | | | | | | | | |
| | | | Technology: 0.3% | | | | | |
4,700,000 | | | | Avaya 2022 Term Loan 1L, 11.926%, (TSFR1M + 10.000%), 12/15/2027 | | | 4,230,000 | | 0.2 |
610,000 | | | | CDK Global 2022 Term Loan B 1L, 6.426%, (TSFR1M + 4.500%), 06/15/2029 | | | 593,606 | | 0.0 |
550,000 | | | | MKS Instruments, Inc. 2022 USD Term Loan B 1L, 4.676%, (TSFR1M + 2.750%), 04/11/2029 | | | 527,312 | | 0.0 |
1,371,920 | | | | Veritas US Inc. 2021 USD Term Loan B, 7.250%, (US0003M + 5.000%), 09/01/2025 | | | 1,130,977 | | 0.1 |
| | | | | | | 6,481,895 | | 0.3 |
| | | | | | | | | |
| | | | Telecommunications: 0.7% | | | | | |
504,060 | | | | Altice Financing SA USD 2017 1st Lien Term Loan, 3.794%, (US0003M + 2.750%), 01/31/2026 | | | 460,428 | | 0.0 |
987,147 | | | | Asurion LLC 2018 Term Loan B7, 4.666%, (US0001M + 3.000%), 11/03/2024 | | | 929,892 | | 0.1 |
330,000 | | | | Asurion LLC 2021 2nd Lien Term Loan B3, 6.916%, (US0001M + 5.250%), 01/31/2028 | | | 286,605 | | 0.0 |
810,000 | | | | Asurion LLC 2021 Second Lien Term Loan B4, 6.916%, (US0001M + 5.250%), 01/20/2029 | | | 695,081 | | 0.0 |
982,463 | | | | Asurion LLC 2021 Term Loan B9, 4.916%, (US0001M + 3.250%), 07/31/2027 | | | 891,585 | | 0.1 |
497,925 | | | | Avaya, Inc. 2020 Term Loan B, 5.574%, (US0001M + 4.250%), 12/15/2027 | | | 372,199 | | 0.0 |
250,000 | | | | Avaya, Inc. 2021 Term Loan B2, 5.324%, (US0001M + 4.000%), 12/15/2027 | | | 188,188 | | 0.0 |
644,629 | | | | Cablevision Lightpath LLC Term Loan B, 4.574%, (US0001M + 3.250%), 11/30/2027 | | | 610,249 | | 0.0 |
1,208,879 | | | | CCI Buyer, Inc. Term Loan, 6.054%, (US0003M + 4.000%), 12/17/2027 | | | 1,106,124 | | 0.1 |
1,488,550 | | | | CenturyLink, Inc. 2020 Term Loan B, 3.916%, (US0001M + 2.250%), 03/15/2027 | | | 1,371,636 | | 0.1 |
1,271,532 | | | | CommScope, Inc. 2019 Term Loan B, 4.916%, (US0001M + 3.250%), 04/06/2026 | | | 1,148,616 | | 0.1 |
951,849 | | | | Connect Finco Sarl 2021 Term Loan B, 4.560%, (US0001M + 3.500%), 12/11/2026 | | | 882,840 | | 0.1 |
575,889 | | | | Digi International Inc. Term Loan B, 5.500%, (US0003M + 5.000%), 11/01/2028 | | | 562,932 | | 0.0 |
413,743 | | | | Global Tel*Link Corporation 2018 1st Lien Term Loan, 5.916%, (US0001M + 4.250%), 11/29/2025 | | | 385,363 | | 0.0 |
78,042 | | | | Global Tel*Link Corporation 2018 2nd Lien Term Loan, 11.625%, (SOFRRATE + 10.000%), 11/29/2026 | | | 69,360 | | 0.0 |
252,450 | | | | GOGO Intermediate Holdings LLC Term Loan B, 4.989%, (US0003M + 0.000%), 04/30/2028 | | | 240,248 | | 0.0 |
492,959 | | | | GTT Communications, Inc. 2018 USD Term Loan B, 8.500%, (PRIME + 3.750%), 05/31/2025 | | | 388,205 | | 0.0 |
33,432 | | | | Intelsat Jackson Holdings S.A. 2021 Exit Term Loan B, 4.920%, (SOFRRATE + 4.250%), 02/01/2029 | | | 30,673 | | 0.0 |
500,000 | | | | Level 3 Financing Inc. 2019 Term Loan B, 3.416%, (US0001M + 1.750%), 03/01/2027 | | | 464,584 | | 0.0 |
215,460 | | | | MTN Infrastructure TopCo Inc 2021 Term Loan, 6.750%, (US0003M + 4.500%), 10/04/2028 | | | 204,687 | | 0.0 |
931,682 | | | | Numericable Group SA USD Term Loan B11, 3.989%, (US0003M + 2.750%), 07/31/2025 | | | 851,907 | | 0.0 |
595,325 | | | | Securus Technologies Holdings, Inc. 2017 1st Lien Term Loan, 6.750%, (US0003M + 4.500%), 11/01/2024 | | | 554,861 | | 0.0 |
520,000 | | | | Venga Finance Sarl 2021 USD Term Loan B, 7.035%, (US0003M + 4.750%), 12/04/2028 | | | 486,200 | | 0.0 |
375,000 | | | | ViaSat, Inc. Term Loan, 6.140%, (SOFRRATE + 4.500%), 03/02/2029 | | | 351,094 | | 0.0 |
1,260,597 | | | | Zayo Group Holdings, Inc. USD Term Loan, 4.666%, (US0001M + 3.000%), 03/09/2027 | | | 1,131,736 | | 0.1 |
| | | | | | | 14,665,293 | | 0.7 |
| | | | | | | | | |
| | | | Utilities: 0.1% | | | | | |
347,995 | | | | Covanta Holding Corporation 2021 Term Loan B, 4.166%, (US0001M + 2.500%), 11/30/2028 | | | 330,306 | | 0.0 |
26,132 | | | | Covanta Holding Corporation 2021 Term Loan C, 4.166%, (US0001M + 2.500%), 11/30/2028 | | | 24,793 | | 0.0 |
1,018,842 | | | | Edgewater Generation, L.L.C. Term Loan, 5.416%, (US0001M + 3.750%), 12/13/2025 | | | 872,201 | | 0.1 |
7,696 | | | | Generation Bridge Acquisition, LLC Term Loan B, 7.250%, (US0003M + 5.000%), 12/01/2028 | | | 7,574 | | 0.0 |
161 | | | | Generation Bridge Acquisition, LLC Term Loan C, 7.250%, (US0003M + 5.000%), 12/01/2028 | | | 158 | | 0.0 |
885,171 | | | | Nautilus Power, LLC Term Loan B, 5.916%, (US0001M + 4.250%), 05/16/2024 | | | 699,746 | | 0.0 |
337,450 | | | | Tiger Acquisition, LLC 2021 Term Loan, 4.916%, (US0001M + 3.250%), 06/01/2028 | | | 301,596 | | 0.0 |
| | | | | | | 2,236,374 | | 0.1 |
| | | | | | | | | |
| | Total Bank Loans | | | | | |
| | (Cost $301,158,200) | | | 279,064,601 | | 12.7 |
| | | | | | | | | |
CONVERTIBLE BONDS/NOTES: 0.0% | | | | | |
| | | | Communications: 0.0% | | | | | |
210,000 | | | | DISH Network Corp., 3.375%, 08/15/2026 | | | 142,380 | | 0.0 |
| | | | | | | | | |
| | Total Convertible Bonds/Notes | | | | | |
| | (Cost $205,803) | | | 142,380 | | 0.0 |
| | | | | | | | | |
Shares | | | | | | Value | | Percentage of Net Assets |
COMMON STOCK: 0.0% |
| | | | Consumer Discretionary: 0.0% | | | | | |
142,000 | | (9),(12) | | 24 Hour Fitness Worldwide, Inc. | | | 53,534 | | 0.0 |
| | | | | | | | | |
| | | | Consumer Staples: –% | | | | | |
2,038 | | (9),(12) | | Save-A-Lot, Inc. / Moran Foods | | | – | | – |
| | | | | | | | | |
| | | | Materials: 0.0% | | | | | |
53,269 | | (9),(12) | | Covia Specialty Minerals, Inc. | | | 719,132 | | 0.0 |
| | | | | | | | | |
| | Total Common Stock | | | | | |
| | (Cost $663,295) | | | 772,666 | | 0.0 |
| | | | | | | | | |
PREFERRED STOCK: 0.0% |
| | | | Consumer Discretionary: 0.0% | | | | | |
189,193 | | (9),(12) | | 24 Hour Fitness Worldwide, Inc. | | | 189,193 | | 0.0 |
| | | | | | | | | |
| | | | Information Technology: 0.0% | | | | | |
2,393 | | (9),(12) | | Riverbed Technology, Inc. | | | 13,561 | | 0.0 |
| | | | | | | | | |
| | Total Preferred Stock | | | | | |
| | (Cost $267,309) | | | 202,754 | | 0.0 |
| | | | | | | | | |
WARRANTS: 0.0% |
| | | | Communication Services: 0.0% | | | | | |
26,686 | | (9),(12) | | Cineworld Group PLC | | | 2,761 | | 0.0 |
| | | | | | | | | |
| | Total Warrants | | | | | |
| | (Cost $–) | | | 2,761 | | 0.0 |
| | | | | | | | | |
| | | | | | Value | | Percentage of Net Assets |
PURCHASED OPTIONS (13): 0.1% |
| | Total Purchased Options | | | | | |
| | (Cost $2,078,378) | | | 1,024,106 | | 0.1 |
| | | | | | | |
| | Total Long-Term Investments | | | | | |
| | (Cost $2,327,973,167) | | | 2,134,368,286 | | 96.9 |
| | | | | | | | | |
Principal Amount† | | | | | | | Value | | Percentage of Net Assets |
SHORT-TERM INVESTMENTS: 13.5% |
| | | | Floating Rate Notes: 0.7% | | | | | |
400,000 | | (14) | | ANZ Bank, 1.660%, 08/18/2022 | | | 399,938 | | 0.0 |
450,000 | | (14) | | Bank of Montreal, 1.650%, 07/25/2022 | | | 449,987 | | 0.0 |
325,000 | | (14) | | Bank of Nova Scotia, 1.680%, 07/18/2022 | | | 325,002 | | 0.0 |
475,000 | | (14) | | Barclays Bank PLC, 1.690%, 07/22/2022 | | | 474,989 | | 0.0 |
475,000 | | (14) | | Bayeriche Landesbank of New York, 1.710%, 07/27/2022 | | | 475,002 | | 0.1 |
425,000 | | (14) | | Commonwealth Bank of Australia, 1.690%, 09/01/2022 | | | 424,895 | | 0.0 |
475,000 | | (14) | | Cooperatieve Rabobank U.A./New York, 1.650%, 08/03/2022 | | | 474,974 | | 0.0 |
325,000 | | (14) | | Cooperatieve Rabobank U.A./New York, 1.660%, 08/16/2022 | | | 324,959 | | 0.0 |
475,000 | | (14) | | Credit Agricole, 1.630%, 07/21/2022 | | | 474,997 | | 0.0 |
275,000 | | (14) | | Credit Agricole, 1.650%, 08/04/2022 | | | 275,002 | | 0.0 |
475,000 | | (14) | | Credit Industriel et Commercial, 1.680%, 08/08/2022 | | | 474,976 | | 0.0 |
400,000 | | (14) | | Mitsubishi UFJ Trust and Banking Corp., 1.670%, 07/22/2022 | | | 399,988 | | 0.0 |
475,000 | | (14) | | Mitsubishi UFJ Trust and Banking Corp., 1.700%, 07/26/2022 | | | 474,992 | | 0.0 |
400,000 | | (14) | | Mizuho Bank Ltd., 1.680%, 07/25/2022 | | | 399,994 | | 0.0 |
475,000 | | (14) | | Mizuho Bank Ltd., 1.690%, 07/28/2022 | | | 475,000 | | 0.1 |
350,000 | | (14) | | Mizuho Bank Ltd., 1.700%, 08/10/2022 | | | 349,976 | | 0.0 |
475,000 | | (14) | | National Australia Bank Ltd., 1.640%, 08/08/2022 | | | 474,959 | | 0.0 |
475,000 | | (14) | | National Australia Bank Ltd., 1.660%, 08/15/2022 | | | 474,948 | | 0.0 |
475,000 | | (14) | | National Bank of Canada, 1.670%, 08/09/2022 | | | 474,968 | | 0.0 |
425,000 | | (14) | | Royal Bank of Canada, 1.660%, 08/16/2022 | | | 424,943 | | 0.0 |
500,000 | | (14) | | Royal Bank of Canada, 1.690%, 08/23/2022 | | | 499,918 | | 0.1 |
400,000 | | (14) | | Sheffield Receivables Company LLC, 1.720%, 07/27/2022 | | | 400,016 | | 0.0 |
475,000 | | (14) | | Skandinaviska Enskilda Banken AB, 1.650%, 07/20/2022 | | | 474,992 | | 0.0 |
475,000 | | (14) | | Societe Generale, 1.670%, 08/08/2022 | | | 475,048 | | 0.1 |
475,000 | | (14) | | Societe Generale, 1.710%, 08/31/2022 | | | 475,044 | | 0.1 |
425,000 | | (14) | | Starbird Funding Corp., 1.690%, 08/23/2022 | | | 424,925 | | 0.0 |
400,000 | | (14) | | Sumitomo Mitsui Trust Bank Ltd., 1.670%, 07/25/2022 | | | 399,994 | | 0.0 |
475,000 | | (14) | | Sumitomo Mitsui Trust Bank Ltd., 1.670%, 07/28/2022 | | | 474,993 | | 0.0 |
400,000 | | (14) | | Sumitomo Mitsui Trust Bank Ltd., 1.690%, 08/01/2022 | | | 399,997 | | 0.0 |
475,000 | | (14) | | Sumitomo Mitsui Trust Bank Ltd., 1.690%, 08/04/2022 | | | 474,991 | | 0.0 |
350,000 | | (14) | | Sumitomo Mitsui Trust Bank Ltd., 1.690%, 08/08/2022 | | | 349,986 | | 0.0 |
500,000 | | (14) | | Svenska Handelsbanken AB, 1.670%, 07/29/2022 | | | 499,984 | | 0.1 |
475,000 | | (14) | | Toronto-Dominion Bank, 1.650%, 07/25/2022 | | | 474,989 | | 0.0 |
475,000 | | (14) | | Toronto-Dominion Bank, 1.660%, 08/19/2022 | | | 474,951 | | 0.0 |
500,000 | | (14) | | Westpac Banking Corp., 1.650%, 08/02/2022 | | | 499,976 | | 0.1 |
| | | | | | | | | |
| | Total Floating Rate Notes | | | | | |
| | (Cost $15,324,293) | | | 15,324,293 | | 0.7 |
| | | | | | | | | |
| | | | Repurchase Agreements: 2.1% | | | | | |
16,000,000 | | (14) | | Citibank N.A., Repurchase Agreement dated 06/30/22, 1.50%, due 07/01/22 (Repurchase Amount $16,000,658, collateralized by various U.S. Government Securities, 0.750%-3.875%, Market Value plus accrued interest $16,320,000, due 11/15/24-04/15/29) | | | 16,000,000 | | 0.7 |
13,641,865 | | (14) | | Daiwa Capital Markets, Repurchase Agreement dated 06/30/22, 1.49%, due 07/01/22 (Repurchase Amount $13,642,422, collateralized by various U.S. Government Securities, 0.000%-7.625%, Market Value plus accrued interest $13,914,705, due 07/26/22-02/15/50) | | | 13,641,865 | | 0.6 |
16,000,000 | | (14) | | Deutsche Bank Securities Inc., Repurchase Agreement dated 06/30/22, 1.48%, due 07/01/22 (Repurchase Amount $16,000,649, collateralized by various U.S. Government Securities, 0.000%-0.750%, Market Value plus accrued interest $16,320,000, due 01/15/25-08/15/39) | | | 16,000,000 | | 0.8 |
| | | | | | | | | |
| | Total Repurchase Agreements | | | | | |
| | (Cost $45,641,865) | | | 45,641,865 | | 2.1 |
| | | | | | | | | |
| | | | Time Deposits: 0.3% | | | | | |
950,000 | | (14) | | Barclays Bank PLC, 1.590%, 07/01/2022 | | | 950,000 | | 0.1 |
600,000 | | (14) | | DZ Bank AG, 1.550%, 07/01/2022 | | | 600,000 | | 0.0 |
1,700,000 | | (14) | | Landesbank Baden-Wurttemberg, 1.570%, 07/01/2022 | | | 1,700,000 | | 0.1 |
600,000 | | (14) | | Mizuho Bank Ltd., 1.570%, 07/01/2022 | | | 600,000 | | 0.0 |
900,000 | | (14) | | Royal Bank of Canada, 1.570%, 07/01/2022 | | | 900,000 | | 0.0 |
The following is a summary of the fair valuations according to the inputs used as of June 30, 2022 in valuing the assets and liabilities:
At June 30, 2022, the following forward foreign currency contracts were outstanding for Voya Strategic Income Opportunities Fund:
CAD 52,429,644 | | USD 41,482,431 | | Brown Brothers Harriman & Co. | | 07/08/22 | | | (751,118 | ) |
NOK 212,330,419 | | USD 22,499,541 | | Brown Brothers Harriman & Co. | | 07/08/22 | | | (940,836 | ) |
USD 16,817,536 | | CHF 16,304,601 | | Brown Brothers Harriman & Co. | | 07/08/22 | | | (265,963 | ) |
GBP 18,828,679 | | USD 23,018,436 | | Brown Brothers Harriman & Co. | | 07/08/22 | | | (96,643 | ) |
USD 30,380,765 | | JPY 4,095,813,168 | | Brown Brothers Harriman & Co. | | 07/08/22 | | | 186,016 | |
USD 23,036,461 | | GBP 18,639,723 | | Brown Brothers Harriman & Co. | | 07/08/22 | | | 344,700 | |
USD 23,253,128 | | NZD 35,963,822 | | Brown Brothers Harriman & Co. | | 07/08/22 | | | 792,613 | |
USD 16,741,388 | | NOK 159,772,606 | | Brown Brothers Harriman & Co. | | 07/08/22 | | | 519,075 | |
CHF 33,180,557 | | USD 34,695,719 | | Brown Brothers Harriman & Co. | | 07/08/22 | | | 69,929 | |
USD 21,470,524 | | SEK 211,375,162 | | Brown Brothers Harriman & Co. | | 07/08/22 | | | 804,849 | |
NZD 34,506,324 | | USD 22,357,682 | | Brown Brothers Harriman & Co. | | 07/08/22 | | | (807,419 | ) |
CAD 41,543,285 | | USD 32,146,284 | | Brown Brothers Harriman & Co. | | 07/08/22 | | | 127,682 | |
JPY 1,684,062,893 | | USD 13,257,780 | | Brown Brothers Harriman & Co. | | 07/08/22 | | | (842,698 | ) |
CAD 22,249,466 | | USD 17,408,672 | | Brown Brothers Harriman & Co. | | 07/08/22 | | | (123,604 | ) |
USD 34,492,230 | | CAD 44,200,068 | | Brown Brothers Harriman & Co. | | 07/08/22 | | | 154,275 | |
SEK 221,821,374 | | USD 22,592,492 | | Brown Brothers Harriman & Co. | | 07/08/22 | | | (905,514 | ) |
USD 18,575,344 | | CAD 23,930,430 | | Brown Brothers Harriman & Co. | | 07/08/22 | | | (15,624 | ) |
USD 11,182,147 | | NZD 17,753,384 | | Brown Brothers Harriman & Co. | | 07/08/22 | | | 94,611 | |
USD 22,650,204 | | NZD 34,543,547 | | Brown Brothers Harriman & Co. | | 07/08/22 | | | 1,076,694 | |
USD 22,933,864 | | SEK 223,947,578 | | Brown Brothers Harriman & Co. | | 07/08/22 | | | 1,039,012 | |
NOK 200,603,526 | | USD 21,406,477 | | Brown Brothers Harriman & Co. | | 07/08/22 | | | (1,038,448 | ) |
USD 21,623,695 | | NOK 204,452,038 | | Brown Brothers Harriman & Co. | | 07/08/22 | | | 864,912 | |
NZD 38,501,715 | | USD 25,079,247 | | Brown Brothers Harriman & Co. | | 07/08/22 | | | (1,033,739 | ) |
EUR 29,890,689 | | USD 32,106,486 | | Brown Brothers Harriman & Co. | | 07/08/22 | | | (773,899 | ) |
USD 21,702,116 | | SEK 212,386,674 | | Brown Brothers Harriman & Co. | | 07/08/22 | | | 937,548 | |
JPY 745,140,141 | | USD 5,851,069 | | Citibank N.A. | | 07/08/22 | | | (357,820 | ) |
USD 11,676,647 | | JPY 1,487,661,853 | | Citibank N.A. | | 07/08/22 | | | 709,454 | |
USD 9,595,466 | | JPY 1,308,417,501 | | Citibank N.A. | | 07/08/22 | | | (50,320 | ) |
ZAR 532,456 | | USD 34,534 | | Citibank N.A. | | 07/29/22 | | | (1,893 | ) |
USD 385 | | ILS 1,277 | | Citibank N.A. | | 07/29/22 | | | 18 | |
AUD 14,535,616 | | USD 10,074,883 | | Goldman Sachs & Co. | | 07/08/22 | | | (41,366 | ) |
SEK 204,192,247 | | USD 20,618,607 | | Goldman Sachs & Co. | | 07/08/22 | | | (655,189 | ) |
USD 15,731,378 | | CHF 15,055,716 | | Goldman Sachs & Co. | | 07/08/22 | | | (43,574 | ) |
USD 18,613,954 | | NOK 180,266,837 | | Goldman Sachs & Co. | | 07/08/22 | | | 310,785 | |
USD 9,320,144 | | NOK 92,277,815 | | Goldman Sachs & Co. | | 07/08/22 | | | (49,169 | ) |
USD 3,714,446 | | JPY 504,899,453 | | Goldman Sachs & Co. | | 07/08/22 | | | (7,724 | ) |
USD 12,641,877 | | NZD 19,600,922 | | Goldman Sachs & Co. | | 07/08/22 | | | 400,497 | |
USD 17,042,477 | | CAD 21,462,102 | | Goldman Sachs & Co. | | 07/08/22 | | | 369,093 | |
USD 4,427,690 | | SEK 44,979,176 | | Goldman Sachs & Co. | | 07/08/22 | | | 30,177 | |
CHF 28,738,710 | | USD 30,004,604 | | Goldman Sachs & Co. | | 07/08/22 | | | 107,002 | |
NOK 88,941,129 | | USD 9,024,059 | | Goldman Sachs & Co. | | 07/08/22 | | | 6,467 | |
USD 12,254,616 | | SEK 120,265,331 | | Goldman Sachs & Co. | | 07/08/22 | | | 496,545 | |
NOK 97,352,761 | | USD 9,945,220 | | Goldman Sachs & Co. | | 07/08/22 | | | (60,628 | ) |
USD 3,044,690 | | NOK 28,857,154 | | Goldman Sachs & Co. | | 07/08/22 | | | 114,714 | |
USD 9,743,722 | | SEK 97,831,838 | | Goldman Sachs & Co. | | 07/08/22 | | | 178,923 | |
USD 11,330,844 | | NOK 109,872,366 | | Goldman Sachs & Co. | | 07/08/22 | | | 175,091 | |
USD 11,522,747 | | JPY 1,546,433,249 | | Goldman Sachs & Co. | | 07/08/22 | | | 122,284 | |
CHF 12,665,716 | | USD 13,149,622 | | Goldman Sachs & Co. | | 07/08/22 | | | 121,157 | |
SEK 39,566,441 | | USD 3,867,761 | | Goldman Sachs & Co. | | 07/08/22 | | | 561 | |
SEK 101,823,690 | | USD 10,103,661 | | Goldman Sachs & Co. | | 07/08/22 | | | (148,588 | ) |
SEK 70,223,310 | | USD 7,163,316 | | Goldman Sachs & Co. | | 07/08/22 | | | (297,740 | ) |
CAD 21,534,590 | | USD 17,134,733 | | Goldman Sachs & Co. | | 07/08/22 | | | (405,035 | ) |
RON 2,123,064 | | USD 456,882 | | Goldman Sachs & Co. | | 07/29/22 | | | (8,744 | ) |
SEK 106,628,375 | | USD 10,484,084 | | Goldman Sachs International | | 07/08/22 | | | (59,267 | ) |
NOK 93,011,241 | | USD 9,357,268 | | Goldman Sachs International | | 07/08/22 | | | 86,513 | |
IDR 9,821,549,302 | | USD 680,581 | | HSBC Bank USA N.A. | | 08/05/22 | | | (24,227 | ) |
USD 13,817,755 | | GBP 11,126,376 | | Morgan Stanley Capital Services LLC | | 07/01/22 | | | 273,615 | |
USD 17,000,233 | | CAD 21,827,364 | | Morgan Stanley Capital Services LLC | | 07/08/22 | | | 43,086 | |
USD 5,795,388 | | JPY 761,567,548 | | Morgan Stanley Capital Services LLC | | 07/08/22 | | | 181,035 | |
JPY 2,034,340,576 | | USD 15,232,280 | | Morgan Stanley Capital Services LLC | | 07/08/22 | | | (234,916 | ) |
USD 14,655,080 | | EUR 13,852,330 | | Morgan Stanley Capital Services LLC | | 07/08/22 | | | 134,528 | |
USD 11,691,793 | | GBP 9,525,250 | | Morgan Stanley Capital Services LLC | | 07/08/22 | | | 95,874 | |
USD 20,636,023 | | NZD 32,602,515 | | Morgan Stanley Capital Services LLC | | 07/08/22 | | | 274,747 | |
NZD 17,128,267 | | USD 10,770,940 | | Morgan Stanley Capital Services LLC | | 07/08/22 | | | (73,809 | ) |
USD 12,493,498 | | GBP 10,176,096 | | Morgan Stanley Capital Services LLC | | 07/08/22 | | | 105,249 | |
AUD 15,708,865 | | USD 10,880,711 | | Morgan Stanley Capital Services LLC | | 07/08/22 | | | (37,334 | ) |
USD 22,872,629 | | JPY 3,113,992,711 | | Morgan Stanley Capital Services LLC | | 07/08/22 | | | (84,040 | ) |
NZD 15,519,381 | | USD 9,764,143 | | Morgan Stanley Capital Services LLC | | 07/08/22 | | | (71,811 | ) |
EUR 15,973,321 | | USD 17,153,148 | | Morgan Stanley Capital Services LLC | | 07/08/22 | | | (409,289 | ) |
AUD 27,584,687 | | USD 19,826,924 | | Morgan Stanley Capital Services LLC | | 07/08/22 | | | (786,010 | ) |
USD 14,787,225 | | JPY 1,921,922,275 | | Morgan Stanley Capital Services LLC | | 07/08/22 | | | 618,620 | |
GBP 12,299,862 | | USD 15,506,432 | | Morgan Stanley Capital Services LLC | | 07/08/22 | | | (532,737 | ) |
AUD 25,188,618 | | USD 17,872,927 | | Morgan Stanley Capital Services LLC | | 07/08/22 | | | (485,949 | ) |
JPY 1,893,481,460 | | USD 14,736,624 | | Morgan Stanley Capital Services LLC | | 07/08/22 | | | (777,688 | ) |
USD 14,786,272 | | CAD 18,704,382 | | Morgan Stanley Capital Services LLC | | 07/08/22 | | | 255,293 | |
USD 15,486,825 | | GBP 12,388,959 | | Morgan Stanley Capital Services LLC | | 07/08/22 | | | 404,664 | |
USD 15,418,518 | | CAD 19,863,291 | | Morgan Stanley Capital Services LLC | | 07/08/22 | | | (12,789 | ) |
USD 31,847,007 | | EUR 29,629,229 | | Morgan Stanley Capital Services LLC | | 07/08/22 | | | 788,492 | |
NZD 20,335,006 | | USD 13,019,528 | | Morgan Stanley Capital Services LLC | | 07/08/22 | | | (319,690 | ) |
USD 20,872,308 | | CAD 26,642,846 | | Morgan Stanley Capital Services LLC | | 07/08/22 | | | 174,131 | |
CAD 19,893,120 | | USD 15,487,672 | | Morgan Stanley Capital Services LLC | | 07/08/22 | | | (33,192 | ) |
USD 16,704,781 | | CAD 21,519,003 | | Morgan Stanley Capital Services LLC | | 07/08/22 | | | (12,808 | ) |
GBP 11,126,376 | | USD 13,818,387 | | Morgan Stanley Capital Services LLC | | 07/08/22 | | | (273,279 | ) |
USD 6,148,369 | | GBP 4,927,902 | | Morgan Stanley Capital Services LLC | | 07/08/22 | | | 149,204 | |
CHF 14,693,124 | | USD 14,904,850 | | Morgan Stanley Capital Services LLC | | 07/08/22 | | | 490,189 | |
USD 14,414,204 | | CHF 13,968,496 | | Morgan Stanley Capital Services LLC | | 07/08/22 | | | (221,590 | ) |
NZD 18,743,042 | | USD 11,920,968 | | Morgan Stanley Capital Services LLC | | 07/08/22 | | | (215,361 | ) |
NZD 16,863,872 | | USD 10,619,888 | | Morgan Stanley Capital Services LLC | | 07/08/22 | | | (87,881 | ) |
USD 12,109,319 | | JPY 1,543,673,957 | | Morgan Stanley Capital Services LLC | | 07/08/22 | | | 729,199 | |
CAD 21,856,492 | | USD 17,075,174 | | Morgan Stanley Capital Services LLC | | 07/08/22 | | | (95,398 | ) |
USD 16,633,258 | | EUR 15,903,348 | | Morgan Stanley Capital Services LLC | | 07/08/22 | | | (37,253 | ) |
CHF 9,610,445 | | USD 10,070,147 | | Morgan Stanley Capital Services LLC | | 07/08/22 | | | (595 | ) |
USD 19,786,176 | | AUD 27,247,182 | | Morgan Stanley Capital Services LLC | | 07/08/22 | | | 978,232 | |
USD 13,214,000 | | JPY 1,687,236,503 | | Morgan Stanley Capital Services LLC | | 07/08/22 | | | 775,522 | |
USD 12,596,122 | | NZD 19,424,520 | | Morgan Stanley Capital Services LLC | | 07/08/22 | | | 464,910 | |
SEK 211,095,086 | | USD 21,602,999 | | Morgan Stanley Capital Services LLC | | 07/08/22 | | | (964,707 | ) |
USD 17,413,495 | | CAD 22,249,742 | | Morgan Stanley Capital Services LLC | | 07/08/22 | | | 128,213 | |
USD 15,677,692 | | GBP 12,519,692 | | Morgan Stanley Capital Services LLC | | 07/08/22 | | | 436,378 | |
CZK 42,445 | | USD 1,829 | | Morgan Stanley Capital Services LLC | | 07/29/22 | | | (38 | ) |
USD 166,323 | | PLN 716,080 | | Morgan Stanley Capital Services LLC | | 07/29/22 | | | 7,125 | |
USD 8,816 | | MXN 174,180 | | Morgan Stanley Capital Services LLC | | 08/05/22 | | | 206 | |
COP 17,635,054 | | USD 4,604 | | Morgan Stanley Capital Services LLC | | 08/05/22 | | | (381 | ) |
GBP 11,126,376 | | USD 13,702,020 | | Standard Chartered Bank | | 07/01/22 | | | (157,880 | ) |
JPY 779,966,900 | | USD 5,842,556 | | Standard Chartered Bank | | 07/08/22 | | | (92,561 | ) |
SEK 32,753,407 | | USD 3,358,984 | | Standard Chartered Bank | | 07/08/22 | | | (156,757 | ) |
SEK 96,811,187 | | USD 9,640,428 | | Standard Chartered Bank | | 07/08/22 | | | (175,416 | ) |
USD 10,593,847 | | AUD 15,182,738 | | Standard Chartered Bank | | 07/08/22 | | | 113,640 | |
JPY 3,063,188,186 | | USD 22,816,789 | | Standard Chartered Bank | | 07/08/22 | | | (234,657 | ) |
CAD 693,070 | | USD 539,509 | | Standard Chartered Bank | | 07/08/22 | | | (1,079 | ) |
USD 10,590,064 | | NZD 16,783,437 | | Standard Chartered Bank | | 07/08/22 | | | 108,290 | |
EUR 21,094 | | USD 22,114 | | Standard Chartered Bank | | 07/08/22 | | | (3 | ) |
EUR 13,082,242 | | USD 13,689,614 | | Standard Chartered Bank | | 07/08/22 | | | 23,703 | |
USD 6,052,985 | | JPY 780,179,198 | | Standard Chartered Bank | | 07/08/22 | | | 301,425 | |
AUD 14,852,745 | | USD 10,441,058 | | State Street Bank and Trust Co. | | 07/08/22 | | | (188,636 | ) |
NOK 92,632,617 | | USD 9,486,868 | | State Street Bank and Trust Co. | | 07/08/22 | | | (81,530 | ) |
USD 5,452,991 | | JPY 743,608,594 | | State Street Bank and Trust Co. | | 07/08/22 | | | (28,967 | ) |
USD 15,254,841 | | CHF 14,606,962 | | State Street Bank and Trust Co. | | 07/08/22 | | | (49,920 | ) |
USD 13,437,825 | | GBP 10,640,358 | | State Street Bank and Trust Co. | | 07/08/22 | | | 484,388 | |
GBP 5,032,842 | | USD 6,293,886 | | State Street Bank and Trust Co. | | 07/08/22 | | | (166,968 | ) |
NZD 16,322,024 | | USD 10,439,519 | | State Street Bank and Trust Co. | | 07/08/22 | | | (245,912 | ) |
USD 5,860,416 | | JPY 777,283,796 | | State Street Bank and Trust Co. | | 07/08/22 | | | 130,202 | |
USD 5,790,679 | | JPY 751,600,595 | | State Street Bank and Trust Co. | | 07/08/22 | | | 249,803 | |
USD 3,010 | | CHF 2,886 | | State Street Bank and Trust Co. | | 07/08/22 | | | (13 | ) |
USD 14,802,280 | | CHF 14,785,789 | | State Street Bank and Trust Co. | | 07/08/22 | | | (689,851 | ) |
NZD 14,555,203 | | USD 9,467,542 | | State Street Bank and Trust Co. | | 07/08/22 | | | (377,369 | ) |
| | | | | | | | $ | (457,504 | ) |
At June 30, 2022, the following futures contracts were outstanding for Voya Strategic Income Opportunities Fund:
At June 30, 2022, the following centrally cleared credit default swaps were outstanding for Voya Strategic Income Opportunities Fund:
At June 30, 2022, the following centrally cleared interest rate swaps were outstanding for Voya Strategic Income Opportunities Fund:
At June 30, 2022, the following OTC volatility swaps were outstanding for Voya Strategic Income Opportunities Fund:
At June 30, 2022, the following OTC purchased foreign currency dual digital options were outstanding for Voya Strategic Income Opportunities Fund:
At June 30, 2022, the following OTC purchased foreign currency options were outstanding for Voya Strategic Income Opportunities Fund:
At June 30, 2022, the following OTC written foreign currency options were outstanding for Voya Strategic Income Opportunities Fund:
At June 30, 2022, the following OTC written interest rate swaptions were outstanding for Voya Strategic Income Opportunities Fund:
At June 30, 2022, the following OTC forward premium swaptions were outstanding for Voya Strategic Income Opportunities Fund: